Macroeconomic Factors and Stock Returns: An Approach of Arbitrage Pricing Theory in the Food and Beverage Industry
Journal Title: Journal of Economics, Finance and Management Studies - Year 2023, Vol 6, Issue 01
Abstract
We examine the efficiency and efficacy of the Arbitrage Pricing Theory model in explaining stock returns in the food and beverage industry. To that end, we analyze the relationship between macroeconomic variables and stock returns before and during the pandemic. In this paper, we use unexpected changes in economic growth, inflation, interest rate, exchange rate, and crude oil price as generating factors and find that these factors have come to explain stock returns movement. Using the generalized least square (GLS) technique, we study stocks from 19 firms listed in Indonesia Stock Exchange over sixteen months from 2018 to 2021. While most significant relations are negative, some are significantly positive. The significant associations suggest that the theory is supported in that estimated expected returns depend on selected generating factors. The result also shows that investors are rational because they consider these factors as systematic risks influencing their profit. Furthermore, we find that there is a difference in stock returns before and during the pandemic, with the average being greater during the pandemic. We assume that this is due to investors’ choice to seek out safe-haven assets in order to limit their exposure to losses.
Authors and Affiliations
Alifia Daariy, Said Djamaluddin, Agus Herta Sumarto
Keywords
Related Articles
- EP ID EP726721
- DOI 10.47191/jefms/v6-i01-47
- Views 56
- Downloads 0
International Liquidity Channel and Performance of Commercial Banks in Nigeria
This study examined the effect of international liquidity channels on the profitability of quoted commercial banks in Nigeria. The objective was to examine the direction which international liquidity channel affects comm...
Sustainability Report: The Role towards Stock Return of Banking Sector
The purpose of this study is to gather empirical evidence on the effect of sustainability report disclosure on stock returns in banking sector companies listed in the category of BUKU 3 and BUKU 4 on the IDX for the 2019...
The Influence of Self-Efficacy and Social Support on Psychological Well-Being And Its Impact on the Performance of Non-Civil Servant Employees at the Public Works and Spatial Planning Office of East Lombok Regency
This study examines the influence of self-efficacy, social support, and psychological well-being on employee performance among non-permanent staff at the Department of Public Works and Spatial Planning (Dinas PUPR) in Ea...
The Effect of Food Price Stabilization on Inflation in West Nusa Tenggara 2019-2023
One of the primary contributors to the inflation rate in West Nusa Tenggara Province is the fluctuation of prices for food commodities. The objective of this study is to examine the extent to which fluctuations in food c...
Contract Enforcement, Remittance and Economic Growth in Ghana
This paper provides evidence that contract enforcement and remittances positively affect economic growth. Secondary data on Ghana was obtained from World Development Indicator spanning from the period 1980 to 2017. The v...