Kajian Imbal Hasil (Return) dan Indikator Risiko di Pasar Saham Sektoral dengan Model CAPM dan FAMA-BETH  

Oleh:

Winata, Cecep ; Tumenggung, Eddy S. ; Noorsapto, Asep

Jenis: Article from Bulletin/Magazine - ilmiah lokal
Dalam koleksi: Bulletin Penelitian Universitas Mercu Buana no. 19 (Sep. 2009), page 24.
Topik: Pasar Saham; Indikator Risiko; Model CAPM; FAMA-BETH

Ketersediaan

Perpustakaan PKPM Nomor Panggil: B118 Non-tandon: tidak ada Tandon: 1

Lihat Detail Induk

Isi artikel

Stock market volatility of Emerging Markets Economy including Indonesia is high. This condition is abnormal and reflects non-linearity risk. This study evaluated sectoral stock market returns as a whole using the method of Capital Asset PricingModel, Fama-Beth, and Seemingly Unrelated Regression. The results showed that those three models produce superior sector and the different risk. The Fama-Beth Theory applies only to infrastructure, utilities, and transportation.

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