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METHODOLOGY The study adopts a time
METHODOLOGY
The study adopts a timeseries research design in examining the relationship between macroeconomic variables and stock returns as specified by the APT. Secondary data in
quarterly estimates for All share index, oil prices, money supply, Gross Domestic Product, Exchange rate, inflation and interest rate for the period 2000Q1 2010Q4 were used for the analysis. The method of data estimation utilizes regression analysis. However, the cointegration and error correction methodology (ECM) is employed. Four analytical procedures are involved in the cointegration and error correction model. First, the descriptive statistics for the data is presented. After that, the unit root test is carried out for each of the variables so as to ascertain the time series properties of the data set and obtain the stationary status. This is to ensure that the variables are stationary and that shocks are only temporary and will dissipate and revert to their longrun mean. Next, the test of Cointegration is performed in order to discover the long run rational properties of the data. The final step is to obtain the error correction representation for the model which helps to analyze the dynamic short run and long run behaviour of the model
The study adopts a timeseries research design in examining the relationship between macroeconomic variables and stock returns as specified by the APT. Secondary data in
quarterly estimates for All share index, oil prices, money supply, Gross Domestic Product, Exchange rate, inflation and interest rate for the period 2000Q1 2010Q4 were used for the analysis. The method of data estimation utilizes regression analysis. However, the cointegration and error correction methodology (ECM) is employed. Four analytical procedures are involved in the cointegration and error correction model. First, the descriptive statistics for the data is presented. After that, the unit root test is carried out for each of the variables so as to ascertain the time series properties of the data set and obtain the stationary status. This is to ensure that the variables are stationary and that shocks are only temporary and will dissipate and revert to their longrun mean. Next, the test of Cointegration is performed in order to discover the long run rational properties of the data. The final step is to obtain the error correction representation for the model which helps to analyze the dynamic short run and long run behaviour of the model
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METHODOLOGY The study adopts a timeseries research design in examining the relationship between macroeconomic variables and stock returns as specified by the APT. Secondary data in quarterly estimates for All share index, oil prices, money supply, Gross Domestic Product, Exchange rate, inflation and interest rate for the period 2000Q1 2010Q4 were used for the analysis. The method of data estimation utilizes regression analysis. However, the cointegration and error correction methodology (ECM) is employed. Four analytical procedures are involved in the cointegration and error correction model. First, the descriptive statistics for the data is presented. After that, the unit root test is carried out for each of the variables so as to ascertain the time series properties of the data set and obtain the stationary status. This is to ensure that the variables are stationary and that shocks are only temporary and will dissipate and revert to their longrun mean. Next, the test of Cointegration is performed in order to discover the long run rational properties of the data. The final step is to obtain the error correction representation for the model which helps to analyze the dynamic short run and long run behaviour of the model
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METODOLOGI
Penelitian ini mengadopsi desain penelitian waktu? Seri di meneliti hubungan antara variabel-variabel makroekonomi dan return saham sebagaimana ditentukan oleh APT. Data sekunder dalam
perkiraan kuartalan untuk Semua indeks saham, harga minyak, pasokan uang, Produk Domestik Bruto, nilai tukar, inflasi dan suku bunga untuk periode 2000Q1? 2010Q4 digunakan untuk analisis. Metode estimasi data yang menggunakan analisis regresi. Namun, co? Metodologi integrasi dan error correction (ECM) yang digunakan. Empat prosedur analitis yang terlibat dalam integrasi dan kesalahan correction model co?. Pertama, statistik deskriptif untuk data yang disajikan. Setelah itu, uji akar unit dilakukan untuk masing-masing variabel sehingga untuk memastikan sifat time series dari kumpulan data dan memperoleh status stasioner. Hal ini untuk memastikan bahwa variabel yang stasioner dan bahwa guncangan hanya sementara dan akan menghilang dan kembali ke panjang mereka? Dijalankan berarti. Berikutnya, uji kointegrasi dilakukan untuk menemukan jangka panjang sifat rasional data. Langkah terakhir adalah untuk mendapatkan representasi koreksi kesalahan untuk model yang membantu untuk menganalisis jangka pendek dinamis dan perilaku jangka panjang dari model
Penelitian ini mengadopsi desain penelitian waktu? Seri di meneliti hubungan antara variabel-variabel makroekonomi dan return saham sebagaimana ditentukan oleh APT. Data sekunder dalam
perkiraan kuartalan untuk Semua indeks saham, harga minyak, pasokan uang, Produk Domestik Bruto, nilai tukar, inflasi dan suku bunga untuk periode 2000Q1? 2010Q4 digunakan untuk analisis. Metode estimasi data yang menggunakan analisis regresi. Namun, co? Metodologi integrasi dan error correction (ECM) yang digunakan. Empat prosedur analitis yang terlibat dalam integrasi dan kesalahan correction model co?. Pertama, statistik deskriptif untuk data yang disajikan. Setelah itu, uji akar unit dilakukan untuk masing-masing variabel sehingga untuk memastikan sifat time series dari kumpulan data dan memperoleh status stasioner. Hal ini untuk memastikan bahwa variabel yang stasioner dan bahwa guncangan hanya sementara dan akan menghilang dan kembali ke panjang mereka? Dijalankan berarti. Berikutnya, uji kointegrasi dilakukan untuk menemukan jangka panjang sifat rasional data. Langkah terakhir adalah untuk mendapatkan representasi koreksi kesalahan untuk model yang membantu untuk menganalisis jangka pendek dinamis dan perilaku jangka panjang dari model
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