KETERKAITAN DINAMIS FAKTOR FUNDAMENTAL MAKROE KONOMI DAN IMBAL HASIL SAHAM
Abstrak: This paper
investigation empirically the dynamic interdependence of the maroeconomy variables
and stock returns
with data the
during period 2003
until 2008. Empirical investigation
is conducted by
the cointegration Engle-Granger method, error
correction mechanism, and
regression analysis. Result show significant long-run and
short-run relationship between
macroeconomic variable and stock
returns.
Keywords: Cointegration, erros
correction model, macroeconomics, stock returns
Penulis: ENDRI
Kode Jurnal: jpakuntansidd090030
