宏观经济对银行股最优投资组合收益的影响

S. Fauzie, Wahyu Sugeng Imam Soeparno, Eunika Tampubolon
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引用次数: 0

摘要

本研究的目的是利用Elton-Gruber单指数模型确定宏观经济对银行股构成的最优投资组合收益的影响。在形成投资组合时使用银行股是由于宏观经济指标的变动所引起的收费行业固有的许多风险。本研究采用自回归分布滞后(ARDL)方法检验自变量对因变量的长期和短期关系。本研究使用的宏观经济变量为BI汇率、通货膨胀、货币供应量和美元对印尼盾的汇率。研究结果表明,BI率、通货膨胀率、货币供应量和美元兑印尼盾汇率共同趋向于最优投资组合收益,两者之间存在长期和短期的关系。这个结果部分地表明,只有前一个月的投资组合回报会影响长期关系中的投资组合回报增长。而在短期内,只有前3个月的BI率变化和前1个月的通货膨胀变化才会影响最优投资组合回报增长。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Influence of Macroeconomic on Optimal Portfolio Returns from Banking Shares
The purpose of this study is to determine the macroeconomic effect on optimal portfolio returns formed from banking stocks with the Elton-Gruber single index model. The use of banking stocks in the formation of portfolios is due to the many risks inherent in the charged industry caused by the movement of macroeconomic indicators. The test conducted in this study uses the Autoregressive Distributed Lag (ARDL) method to see the long-term and short-term relationship of the independent variables to the dependent variable. The macroeconomic variables used in this study are the BI rate, inflation, money supply and the exchange rate of US Dollar-Rupiah. The results of the study show that there is a long-term and short-term relationship between the BI rate, inflation, money supply, and the US Dollar-Rupiah exchange rate jointly towards optimal portfolio return. This result shows partially only the previous 1-month portfolio return that affects portfolio return growth in long-term relationships. Whereas in the short term, only a change in the BI rate of the previous 3 months and a change in inflation in the previous 1 month which affected the optimal portfolio return growth.
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