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ABSTRAKSkripsi ini bertujuan untuk menguji pengaruh dan signifikasi indeks saham
regional Asia Tenggara, risiko spesifik negara, dan risiko idiosinkratik terhadap
expected return saham. Negara yang diuji adalah ASEAN-5, mencakup Indonesia,
Malaysia, Filipina, Singapura, dan Thailand. ASEAN Community yang akan
dilaksanakan tahun depan menjadi dasar bertolaknya pengujian ini. Hasil regresi
menyimpulkan bahwa risiko spesifik negara dan risiko indeks pasar saham
regional Asia Tenggara berpengaruh signifikan terhadap expected return semua
negara. Namun untuk risiko idiosinkratik, hanya signifikan terhadap tiga negara,
yaitu Indonesia, Malaysia, dan Thailand, sedangkan untuk Filipina dan Singapura
tidak ditemukan signifikansi.
ABSTRACTThis undergraduate thesis tests the significance of South East Asia?s region
index, country specfic risk, and idiosyncratic risk towards expected return. Tested
in this thesis are the ASEAN-5, including Indonesia, Malaysia, Philippines,
Singapore, and Thailand. The ASEAN Community set to be held next year
became the base of why the test is conducted. The regression results indicate
significance for both the country-specific risk and the regional index risk towards
all five countries. As for the idiosyncratic risk, it is only significant for three
countries, Indonesia, Malaysia and Thailand, where no significance was found for
Singapore and Philippines., This undergraduate thesis tests the significance of South East Asia’s region
index, country specfic risk, and idiosyncratic risk towards expected return. Tested
in this thesis are the ASEAN-5, including Indonesia, Malaysia, Philippines,
Singapore, and Thailand. The ASEAN Community set to be held next year
became the base of why the test is conducted. The regression results indicate
significance for both the country-specific risk and the regional index risk towards
all five countries. As for the idiosyncratic risk, it is only significant for three
countries, Indonesia, Malaysia and Thailand, where no significance was found for
Singapore and Philippines.]