The Determinant Factors Of Sectoral Stock Return In Bullish And Bearish Condition
At Indonesian Capital Market
Defrizal, Sucherly, Yuyun Wirasasmita, Sulaeman Rahman Nidar
Index Terms: Market Condition, Multi Factor Asset Pricing Model, Markov Switching Model, Robust Least Square
Abstract: this study aims to explain determinant factors of sectoral stock return in bullish and bearish condition at Indonesian capital market. This study used a multi-factor asset pricing model with sectoral stock return as the dependent variable and stock market return, interest rates, and exchange rate as independent variables. The Identification of stock market condition by using a Markov Switching Models, which are also used as the basis for segmenting the data into bullish and bearish conditions. Estimates of the model used the robust least square method. This study used data from Indonesian Stock Exchange to the observation period from January 1996 to December 2013. The results of this study were (1) simultaneously, stock market return, interest rates, and exchange rate affected the sectoral stock return in bullish and bearish condition. (2) Partially, the stock market return positively effect and is as a main factor in determining the sectoral stock return in all industries in either bullish condition or bearish condition, while the effect of the interest rates and exchange rate do not consistently affect the sectoral stock return in different industries and market conditions.
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