Testing The Indonesian Stock Market Arbitrage Pricing Model

This research aims to explain the return and risk premium using an APT model from Indonesian stock market. The study uses a two-stage regression model. sample of stocks included in Kompas100 index. represent market capitalization value originality this is inclusion foreign macro-factors use surprise or unanticipated factors Pre-specified Macro-economic Arbitrage Pricing Theory Model. results prove that there multi-factor consisting for inflation, interest rates, macroeconomic represented by Dow Jones index Shanghai further strengthen theory previous on