Mathius Tandiontong, Rusdin Rusdin


Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterm
investments to be able to provide added value and the risk for fixed income. This study focused on the
difference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. This
study was based on the assumption that: there were differences in sectoral stock return volatility, volatility of
market risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;
there were differences in the results of testing the validity, robustness unconditional CAPM and APTM
multifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetric
effect. The method of analysis used nested models with panel data. Data were analyzed by using secondary data
from 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returns
across sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactor
that showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM was
valid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of
2008 within the period 2005-2012.


arbitrage price theory model, capital asset pricing model, structural break, time-varying volatility, volatility of sectoral stock returns

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DOI: https://doi.org/10.26905/jkdp.v19i2.842


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Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

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