Proceedings of the 1st International Conference on Economics Engineering and Social Science, InCEESS 2020, 17-18 July, Bekasi, Indonesia

Research Article

Empirical Test of Apt Model to Predicting Portofolio’s Stock Return Incorporated with Lq45 from 2014 until 2018 in Indonesia

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  • @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
Yuki Dwi Darma1,*
  • 1: Pelita Bangsa University, Indonesia
*Contact email: yuki@pelitabangsa.ac.id

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.