期刊名称：International Research Journal of Business Studies
印刷版ISSN：2089-6271
电子版ISSN：2338-4565
出版年度：2010
卷号：3
期号：1
页码：33-52
语种：English
出版社：Prasetiya Mulya Publishing
摘要：The aim of the study is to assess the positive relation between expected return of asset or portofolio with its consumption beta, using consumption-based capital asset pricing model (CCAPM) (Breden, 1979) in Indonesia Stock Exchange market. Hypothesis testing in this research utilizing two-step econometric models: frst pass regression and second pass regression. Based on the test, there is no linear and positive relation between expected return and consumption beta. The results suggest the limited correlation between the aggregate of consumption level and historical return movement. The research does not support CCAPM theory. The results indicate another factor aside from consumption in determining stock exchange return. It shows the fact that the small proportion of investor compared to the population of the country afects how the consumption data should be interpreted carefully since the data refect more on non-investor consumer consumption.
