Keterkaitan Dinamis faktor Fundamental Makroekonomi dan Imbal Hasil Saham  

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Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Jurnal Bisnis dan Akuntansi vol. 11 no. 2 (Aug. 2009), page 79-95.
Topik: Cointegration; Erros correction model; Macroeconomics; Stock returns.
Fulltext: 1_her.pdf (207.84KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ59.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper investigation empirically the dynamic interdependency of the maroeconomy variables and stock returns with data the during period 2003 until 2008. Empirical investigation is conducted by the cointegration Engle-Granger method, error correction mechanism, and regression analysis. Result show significant long-run and short-run relationship between macroeconomic variable and stock returns.

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