EXCHANGE RATE, MARKET RETURN, INTEREST RATE DAN RETURN PORTOFOLIO SAHAM

MOHAMMAD LUTFI ANSHOR, 040610650 (2011) EXCHANGE RATE, MARKET RETURN, INTEREST RATE DAN RETURN PORTOFOLIO SAHAM. Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

Penelitian ini menguji pengaruh perubahan exchange rate, market return dan interest terhadap return portofolio saham perbankan di Indonesia khususnya Bank Persero dan BUSN Devisa. Metode estimasi yang digunakan adalah Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH (1,1). GARCH (1.1) digunakan sebagai pembanding untuk penilaian model dasar dan untuk menganalisis estimasi OLS yang bermasalah pada heterokedastisitas. Secara Umum exchange rate, market return dan interest rate berpengaruh secara signifikan terhadap return perbankan selama periode apresiasi dan depresiasi. Terdapat pengaruh positif exchange rate terhadap return portofolio saham perbankan. Terdapat pengaruh positif market return terhadap return portofolio saham perbankan. Terdapat pengaruh negatif interest rate terhadap return portofolio saham perbankan. Translation: The paper attempts to analyze the effect of exchange rate, market return and int er e s t rat e fluctuations on porfolio banking stock return for the case of Indonesia using an augmented standard market model specially for company banking and private of foreign exchange banking. For this purpose, the GARCH estimation method is employed to assess the robustness of the basic model. GARCH (1,1) model is al so used to analysis OLS estimation that complication with heteroskedasity. In general the results are supportive of significant exchange rate, market return and interes t rate for return of porfolio banking considered when apreciation and depreciation period. Exchange rate have positive effect for return of porfolio banking. Market return have positive effect for return of porfolio banking. Interest rate have negative effect for return of porfolio banking.

Item Type: Thesis (Skripsi)
Additional Information: KKB KK-2 B.36/11 Ans e
Uncontrolled Keywords: Exchange rate, Market return
Subjects: H Social Sciences > HG Finance > HG3810-4000 Foreign exchange. International finance. International monetary system
Divisions: 04. Fakultas Ekonomi dan Bisnis > Manajemen
Creators:
CreatorsNIM/NIDN
MOHAMMAD LUTFI ANSHOR, 040610650UNSPECIFIED
Contributors:
ContributionNameNIDN/NIDK/NUP
ContributorFitri Ismiyanti, Dr., SE., M.Si.UNSPECIFIED
Depositing User: Nn Deby Felnia
Date Deposited: 27 Sep 2011 12:00
Last Modified: 29 Jun 2016 07:28
URI: http://repository.unair.ac.id/id/eprint/8075
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