Research Article
Empirical Test of Apt Model to Predicting Portofolio’s Stock Return Incorporated with Lq45 from 2014 until 2018 in Indonesia
@INPROCEEDINGS{10.4108/eai.17-7-2020.2303080, author={Yuki Dwi Darma}, title={Empirical Test of Apt Model to Predicting Portofolio’s Stock Return Incorporated with Lq45 from 2014 until 2018 in Indonesia}, proceedings={Proceedings of the 1st International Conference on Economics Engineering and Social Science, InCEESS 2020, 17-18 July, Bekasi, Indonesia}, publisher={EAI}, proceedings_a={INCEESS}, year={2021}, month={1}, keywords={apt stock return portfolio lq45 cross sectional time series two stage regression systematic risk non-systematic risk return expectations macroeconomic variables variable residual}, doi={10.4108/eai.17-7-2020.2303080} }- Yuki Dwi Darma
Year: 2021
Empirical Test of Apt Model to Predicting Portofolio’s Stock Return Incorporated with Lq45 from 2014 until 2018 in Indonesia
INCEESS
EAI
DOI: 10.4108/eai.17-7-2020.2303080
Abstract
The purpose of this study was to test the APT model as a model of capital market equilibrium price in predicting the return of shares incorporated in LQ45. This research using multipass- Regression to test the validity and validity on CAPM model by using data in this study was closing price of 45 blue chip stocks and a monthly return LQ45 index, the variables used were US dollar exchange rate, inflation and market risk. For data analysis using two stage regression, time series at one stage and cross-sectional regression on a two-stage regression. The study found that less APT model works well in predicting stock prices in the Indonesian capital market, especially stocks incorporated in LQ45.
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