Detail Hasil Pencarian
Analisis Penentuan Harga Aset Pada Pasar Modal
|Jurnal||:||Jurnal Ekonomi dan Bisnis Indonesia 2004, XIX(2)|
|Summary / Kata Kunci||:||ABSTRACT
The purposes of this Str.4) are to identift the empirical evidence whether the pricing errarfrorn using domestic CA PM when the .u.-c of global CA PM' fs appropriate, whether the security risk that is diversifiable dornesticall.- is also diversijiable globally, and whether the use of domestic CAPM result in the same exprwtea return as the use of g?obal CAPM.
This research is based on the previovs research on the cost of capital in the international capital market conducted by Koeclifik et al. (2002) and Karoiyi and Stutz (2001) without the control variable fin: foreign exchange rate. The researcher did not use this twriable because it is assumed here that the perfect international _financial marker and the law of one price", This research focused on 413 stock from the eight Pacft Asian capital markets during 108 to 2003 periods. The research used purposive sampling and simple regression statistic method, The research was conducted on the market level and individual securities.
The result of the research shows that on the most of the securities of the eight Pacific &Ian capital markets. there is no pricing error from the use of domestic CAPRI when the toEC of &hal CAPM is mare appropriate. The security risk that is diversificrble domestically is also diversijiable globally. Consequently. the domestic market portfolio contains all information that is relevant to price assets. Generally, it can be concluded that the asset pricing of the Pacific. Asian capital markets was priced domestically. The use of domestic CAPM is still relevant also shows a better performance than the global CAPM. The implication is that independent of the issue whether international capital markets are fully integrated the domestic CA?M resulted in the same estimated return that the global CAP M.
Keywords: •stinqaied return. domestic CAPM, global CA PM, and pricing error, domestic market portfolio_
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