ANALISIS CAPM, APT, MONDAY EFFECT DAN EFISIENSI PASAR MODAL PADA SEKTOR KEUANGAN DI BEI (PERIODE JANUARI – JUNI 2010)

sparta, sparta (2010) ANALISIS CAPM, APT, MONDAY EFFECT DAN EFISIENSI PASAR MODAL PADA SEKTOR KEUANGAN DI BEI (PERIODE JANUARI – JUNI 2010). Jurnal Keuangan dan Perbankan, 7 (1). ISSN 1829-9865

[img] Text
15-ANALISIS_CAPM_APT_MONDAY_EFFECT_DAN_EFIS.pdf - Published Version
Download (923kB)

Abstract

This study aimed to see whether the model of CAPM, APT can be applied in determining the stock price and stock beta. Another purpose of this study was to see whether there is random walk on the three banks share price movements studied were Beks, BNGA and BVIC and symptom effects on the third monday the stock price of the bank. The results of this study indicate that the CAPM model can be applied when the bank's stock. APT model can not be diterpakan the three shares. This is probably due to other factors beyond the market only variable exchange rate. From the test results of random walk and constants coeficient of the regression equation obtained by a simple model that the three bank stocks have price movements are random walk. Thus the capital market in the form of BEI not weak form efficient. Monday effect test results showed that the three bank stocks Monday there were no symptoms of effect. Keywords: CAPM, APT, Random walk and Monday walk

Item Type: Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Depositing User: Sparta Sparta
Date Deposited: 18 Oct 2020 10:44
Last Modified: 16 Dec 2020 23:59
URI: http://repository.ibs.ac.id/id/eprint/939

Actions (login required)

View Item View Item
IBS Repository is powered by EPrints 3 which is developed by the School of Electronics and Computer Science at the University of Southampton. More information and software credits.