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All Journal Eksis: Jurnal Ilmiah Ekonomi dan Bisnis
R Adisetiawan
Faculty of Economics, Batanghari University
Economics, Econometrics & Finance

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Perspektif Asset Pricing Model dan Pengembangannya Pada Pasar Modal Indonesia Yunan Surono; Akhmad Irwansyah Siregar; R Adisetiawan
Eksis: Jurnal Ilmiah Ekonomi dan Bisnis Vol 11, No 1 (2020): Mei
Publisher : Universitas Batanghari Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (847.391 KB) | DOI: 10.33087/eksis.v11i1.194

Abstract

Every investor will pay attention to return and risk in investing in portfolios. In portfolio investment, this is known as the principle of high return high risk. To see this return and risk, 4 (four) models are known, namely 1) Capital Asset Pricing Model (CAPM) with beta factors (market risk), 2) French Fama models with beta, size and value factors, 3) Carhart model with factors beta, size, value and momentum, 4) the Arbitrage Pricing Theory (APT) model in this study, in addition to factors such as the model above, macro economic factors include economic growth, inflation, interest rates, the rupiah exchange rate against US dollars and the money supply. Models 1, 2 and 3 analyze from the fundamental side of the company while models 4 analyze from the macroeconomic side. Based on the theory of Ying (1966), Tauchen & Pitts (1983), Blume (1994), Lee & Swaminathan (2000), Gervais (2001) and Kaniel (2003) that the total trading volume affects the movement of stock indexes, stock prices and affects the magnitude of the level return and investment risk, then in this study the researchers added the total volume of activity factor as an effort to overcome the weaknesses found in the Carhart model where in calculations using the three sequential sort method, this model has not been able to record a holding period (the length of shares in the hands of investors) which in this study. The model with the addition of the total volume activity variable as a five factor pricing model is a model of the researcher's development. From the test results it can be concluded that the development model turned out to be better precision in estimating return and risk and its accuracy is more accurate than existing models.
Multivariate Time Series in Macroeconomics Ahmadi Ahmadi; R Adisetiawan
Eksis: Jurnal Ilmiah Ekonomi dan Bisnis Vol 11, No 2 (2020): November
Publisher : Universitas Batanghari Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33087/eksis.v11i2.209

Abstract

Gold is one of the most popular commodities and investment alternatives. Gold prices are thought to be influenced by several other factors such as the US Dollar, oil price, inflation rate, and stock exchange so that gold price modeling is not only influenced by its own value. This research was conducted to determine the best forecasting model and to find out what factors influence the price of gold. This research modeled the price of gold in a multivariate and reviewed the univariate modeling that will be used as a comparison model of multivariate modeling. Univariate modeling is done using ARIMA model where the modeling results state that gold price fluctuations as white noise. Multivariate gold price modeling is done using Vector Error Correction Model with gold, oil, US Dollar and Dow Jones indices, and inflation rate as predictors. The results showed that the VECM model has been able to model the gold price well and all the factors studied influenced the gold price. The US dollar and oil prices are negatively correlated with gold prices, while the inflation rate is positively correlated with gold prices. The Dow Jones index was positively correlated with gold prices in just two periods.
Co-Authors Ahmadi Ahmadi Akhmad Irwansyah Siregar Yunan Surono