KETERKAITAN DINAMIS FAKTOR FUNDAMENTAL MAKROEKONOMI DAN IMBAL HASIL SAHAM

Authors

  • ENDRI ENDRI ABFI Institute Perbanas

DOI:

https://doi.org/10.34208/jba.v11i2.148

Keywords:

Cointegration, erros correction model, macroeconomics, stock returns

Abstract

This paper investigation empirically the dynamic inter-dependence 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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Published

2018-04-18

Issue

Vol. 11 No. 2 (2009): Jurnal Bisnis dan Akuntansi

Section

Articles

How to Cite

“KETERKAITAN DINAMIS FAKTOR FUNDAMENTAL MAKROEKONOMI DAN IMBAL HASIL SAHAM”. 2018. Jurnal Bisnis Dan Akuntansi 11 (2): 79-95. https://doi.org/10.34208/jba.v11i2.148.