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All Journal ESENSI: JURNAL BISNIS DAN MANAJEMEN Jurnal English Education: Jurnal Tadris Bahasa Inggris ACITYA Journal of Teaching & Education Scope: Journal of English Language Teaching Jurnal Scientia Al-Masraf: Jurnal Lembaga Keuangan dan Perbankan
Anita Anita
UIN Sultan Maulana Hasanuddin Banten
Arts Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Journal : ESENSI: JURNAL BISNIS DAN MANAJEMEN

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Pengujian Beta Konsumsi dan Implikasinya Terhadap Imbal Hasil Saham Syariah di Indonesia dengan Mempertimbangkan Variabel Makro Ekonomi Anita Anita; Ratu Humaemah; Asep Dadan Suganda
Esensi: Jurnal Bisnis dan Manajemen Vol 10, No 2 (2020)
Publisher : Faculty of Economic and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/ess.v10i2.18383

Abstract

This study aims to determine the effect of consumption beta on Islamic stock returns. The research model used Breeden's (1979) CCAPM model by adding macroeconomic variables as control variables in the first regression test. The sample selection used a purposive sampling technique and obtained 27 active Islamic stocks listed on the JII index during 2019. The data and information collected are historical data, namely the monthly closing price of the JII Islamic stock index, Gross Domestic Product Data, Inflation data and SBI interest rates. . The use of macroeconomic variable data is an effort to obtain a Goodness of fit model so that it is able to produce estimates in accordance with the actual value. The beta coefficient value obtained in the first test then carried out the second stage regression. The results prove that there is a negative influence between consumption beta on the average yield of Islamic JII stocks of 21.56%, with a consumption variable value of -0.046894 and a significant T value of 0.0147 <0.05. Thus, this research briefly proves that the CCAPM Breeden model (1979) applies to the JII Islamic stock index on the Indonesia Stock Exchange for the period 2019.
Co-Authors Abdul Muin Afif Suaidi ASEP DADAN SUGANDA, ASEP DADAN Elin Restiani Sunandang Hidayat, Didin Nuruddin Nazmillah Nazmillah Nur Hanifa Ratu Humaemah Rina Fitriana Yayu Heryatun