KETERKAITAN DINAMIS FAKTOR FUNDAMENTAL MAKROEKONOMI DAN IMBAL HASIL SAHAM

ENDRI ENDRI

doi:10.34208/jba.v11i2.148

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.

Published

2018-04-18

How to Cite

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