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JURNAL BISNIS DAN AKUNTANSI
Vol. 11, No. 2, Agustus 2009, 79 - 95
ISSN: 1410-9875

KETERKAITAN DINAMIS FAKTOR
FUNDAMENTAL MAKRO EKONOMI DAN
IMBAL HASIL SAHAM

 ENDRI
ABFI Institute Perbanas
endri67@yahoo.com

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Official URL: http://www.tsm.ac.id/JBA/JBA11.2Agustus2009/1_artikel_JBA11.2Agustus2009.pdf

ABSTRACT:

This paper investigation empirically the dynamic interdependence of the maroeconomy variables and stock returns with data the during period 2003 until 2008. Empirical investigation is conducted by the cointegration Engle-Granger method, error correction mechanism, and regression analysis. Result show significant long-run and short-run relationship between macroeconomic variable and stock returns.

Keywords: Cointegration, erros correction model, macroeconomics, stock returns
 
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