Analisis Pengaruh Variabel Makroekonomi Terhadap Volatilitas Return Indeks Saham LQ45

DEWI, Seto Kartika and MUHARAM, Harjum and Demi P, Irine (2015) Analisis Pengaruh Variabel Makroekonomi Terhadap Volatilitas Return Indeks Saham LQ45. Masters thesis, Diponegoro University.

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This Study analyzes the influence of macroeconomic variables on volatility stock return index LQ45 .With knowing the influence of variabel macro will help investor to make an investment in the stock market .Investor often observed volatility stock returns to knowing risk and benefit to be get for the future in a capital market. The technique of this research is use ARIMA and ARCH-GARCH method, the independent variabel are inflation, central bank rate, money supply and the exchange rate look toward dependent variabel volatility stock return indeks LQ45. The data used is secondary data, and the sampling technique is purposive sampling. The samples in this study of all companies are listed in indeks LQ45 of Indonesia Stock Exchange in the period January 2000 - December 2014.From the result of the analysis show that two variabel that is exchange and interest rate have positive significant influence to stock return volatility while money supply and inflation have negative but not significant for inflation. This study only used macroeconomic variables, so the further research need to find other macroeconomic variables which affect on volatility stock return.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:School of Postgraduate (mixed) > Master Program in Management
ID Code:48176
Deposited On:23 Mar 2016 14:39
Last Modified:23 Mar 2016 14:39

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