[ABSTRAK Skripsi ini bertujuan untuk menguji pengaruh dan signifikasi indeks sahamregional Asia Tenggara, risiko spesifik negara, dan risiko idiosinkratik terhadapexpected return saham. Negara yang diuji adalah ASEAN-5, mencakup Indonesia,Malaysia, Filipina, Singapura, dan Thailand. ASEAN Community yang akandilaksanakan tahun depan menjadi dasar bertolaknya pengujian ini. Hasil regresimenyimpulkan bahwa risiko spesifik negara dan risiko indeks pasar sahamregional Asia Tenggara berpengaruh signifikan terhadap expected return semuanegara. Namun untuk risiko idiosinkratik, hanya signifikan terhadap tiga negara,yaitu Indonesia, Malaysia, dan Thailand, sedangkan untuk Filipina dan Singapuratidak ditemukan signifikansi. ABSTRACT This undergraduate thesis tests the significance of South East Asia?s regionindex, country specfic risk, and idiosyncratic risk towards expected return. Testedin this thesis are the ASEAN-5, including Indonesia, Malaysia, Philippines,Singapore, and Thailand. The ASEAN Community set to be held next yearbecame the base of why the test is conducted. The regression results indicatesignificance for both the country-specific risk and the regional index risk towardsall five countries. As for the idiosyncratic risk, it is only significant for threecountries, Indonesia, Malaysia and Thailand, where no significance was found forSingapore and Philippines., This undergraduate thesis tests the significance of South East Asia’s regionindex, country specfic risk, and idiosyncratic risk towards expected return. Testedin this thesis are the ASEAN-5, including Indonesia, Malaysia, Philippines,Singapore, and Thailand. The ASEAN Community set to be held next yearbecame the base of why the test is conducted. The regression results indicatesignificance for both the country-specific risk and the regional index risk towardsall five countries. As for the idiosyncratic risk, it is only significant for threecountries, Indonesia, Malaysia and Thailand, where no significance was found forSingapore and Philippines.] |