Research Paper
Year: 2019 | Month: December | Volume: 6 | Issue: 12 | Pages: 156-165
Stock Return Analysis While Recession and Expansion Cycle in Consumer Goods and Mining Sector Listed on Indonesia Stock Exchange
Ricky Triwanda Putra Simamora, Dominicus Savio Priyarsono, Trias Andati
School of Business, IPB University, Indonesia
Corresponding Author: Ricky Triwanda Putra Simamora
ABSTRACT
This study aims to analyze stock returns during the recession and expansion cycles in two different sector characteristics, namely the consumer goods and mining sectors. And, this study also analyzes the asset pricing model with the best level of accuracy in estimating stock returns for two different sectors and two economic cycles. This study uses multiple regression to see the effect of beta and gross domestic product growth on stock returns and mean absolute deviation method to measure the asset pricing model with the best degree of accuracy. The results of the analysis show that beta has a significant effect on the stock returns of the consumer goods and mining sectors during recession and expansion. Whereas, gross domestic product growth only had a significant effect on mining sector stock returns during recession and expansion. But, in the consumer goods sector, gross domestic product growth has no significant effect on stock returns both during recession and expansion. Model Asset Pricing with the best level of accuracy for the consumer goods sector is the Arbitrage Pricing Theory at the time of recession and expansion. But, for the mining sector the best models are Arbitrage Pricing Theory during recession and Capital Asset Pricing Model during expansion.
Key words: Stock Return, Recession, Expansion, Beta, CAPM, APT, Fama French Three Factor Model
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