Arbitrage Pricing Theory of Financial Sector Stock Returns during the Covid-19 Outbreak in Indonesia

Ayu, Nike Retnowati and Okta, Eka Putra and Retno, Widya Ningrum and Harianto, Simarmata (2023) Arbitrage Pricing Theory of Financial Sector Stock Returns during the Covid-19 Outbreak in Indonesia. Jurnal Ilmiah Kursor, 12 (1). ISSN 2301-6914 (In Press)

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Abstract

This study was conducted to determine the condition of stock returns in the financial sector by using Arbitrage Pricing Theory. The method used is a verification method with a quantitative approach. The research population is financial sector companies listed on the Indonesia Stock Exchange for the period March 2020 - July 2022. The sampling technique used is non-probability sampling with a purposive sampling approach. Data sources were obtained from Bank Indonesia, Yahoo Finance, Investing.com, and the Ministry of Trade. To answer the research problem, time series data regression was used. We find that simultaneously all independent variables have a significant effect on stock returns. The partial test found that only inflation, foreign exchange reserves, imports, and gold prices had a significant effect on stock returns, while the BI 7Day variable and the exchange rate (middle rate) had no significant effect on stock returns in the financial sector on the Stock Exchange. Indonesia (IDX).

Item Type:	Article
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	lppm Universitas UNIBI
Date Deposited:	31 Jan 2023 02:06
Last Modified:	26 Feb 2024 02:30
URI:	http://repository.unibi.ac.id/id/eprint/509

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