KETERKAITAN DINAMIS FAKTOR FUNDAMENTAL MAKROEKONOMI DAN IMBAL HASIL SAHAM

ENDRI ENDRI (ABFI Institute Perbanas)

Jurnal Bisnis dan Akuntansi
Vol 11 No 2 (2009): Jurnal Bisnis dan Akuntansi

This paper investigation empirically the dynamic inter-dependence 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.