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All Journal Jurnal Kompetitif Akurasi : Jurnal Studi Akuntansi dan Keuangan
Chikita Tiara Griska
Universitas Tridinanti Palembang
Economics, Econometrics & Finance

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Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange Ani Silvia; Chikita Tiara Griska
Akurasi : Jurnal Studi Akuntansi dan Keuangan Vol 4 No 1 (2021): Akurasi: Jurnal Studi Akuntansi dan Keuangan, Juni 2021
Publisher : Magister Akuntansi Fakultas Ekonomi dan Bisnis Unram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/akurasi.v4i1.82

Abstract

This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.
PENGARUH COVID-19 TERHADAP INTERINDUSTRI DENGAN PENDEKATAN DCC-GARCH (STUDI EMPIRIS PADA PERUSAHAAN TERCATAT DI EMERGING MARKETS) Chikita Tiara Griska; Muhammad Ridwan
JURNAL KOMPETITIF Vol 11, No 2: Edisi Juli-Desember 2022
Publisher : Fakultas Ekonomi Universitas Tridinanti Palembang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52333/kompetitif.v11i2.990

Abstract

The uncertainty caused by the presence of the COVID-19 pandemic has caused the world economy to suffer huge losses. This study aims to prove that COVID-19 affects inter-industry relationships in Emerging Markets using the DCC – GARCH approach Engle (2002). The sample used is 15 industrial sectors obtained from the period April 2019 to March 2021. The results of this study prove that the COVID-19 announcement caused high stock volatility with stock returns that declined sharply. Of the 15 industries, dynamic correlations were found across industries. The largest correlations were found in the metal & mining and steel industries while the smallest correlations were found in printing & publishing and tobacco.Keywords: COVID-19, DCC-GARCH, Volatility, Crisis, Risk.
Co-Authors Ani Silvia Muhammad Ridwan