Sebelas Maret International Conferences, The 2nd INCREDIBLE

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Macro Economics on Stock Returns Portfolio LQ45 at Indonesia Stock Exchange (An Approach of APT)
Yuki Dwi Darma, Emmelia Tan

Building: Parallel Session 2
Room: B
Date: 2020-10-27 02:45 PM – 04:00 PM
Last modified: 2020-10-18

Abstract


This study aims to testing APT MODEL to predict portfolios return with Macro Economic variables  such as Interest rate, Purchasing Manager Index (PMI), Inflation rate, Gold price, Crude Palm oil price, Exchange rate, Indonesia Trade balance, LQ45 index and DJIA index as risk factor investment on Indonesian stock exchange. This study uses secondary data during period of 67 months from January 2015 to July 2020 and analysis method uses time series regression by using Eviews software. The result of this study shows PMI, Gold price, DJIA index, affect positively significant on stock returns portfolio and Crude Palm Oil price and Exchange rate affect negatively significant on stock return portfolio LQ 45.