DAMPAK FAKTOR EKONOMI TERHADAP PENDAPATAN SAHAM DI PASAR MODAL INDONESIA:SUATU UJI KOINTEGRASI

Abstract

A study explores the relation^. ships between stock return and precified economic indicators and identifies a set of economic variables that correspond most closely with the stock return obtained from factor analysis. Determining the number of economic factors domestic and regional in Southeast Asian that explain stock return plays an in2poriant role in empirical lest. We found that stock returns are significantly influenced by a number of systematic economic force and by composite stocks index in Southeast Asian Stock Exchange. This reseath also examines cointegration of relationship between a set of economic variables with stock return on long-term by empirical test of the Error Correction Model (ECM). We found that there was significantly cointegration between economic variables and composite stock index in Southeast Asian Stock Exchange with stock return in Indonesian Stock Exchange on long-term.