ANALISIS PENENTUAN HARGA ASET PADA PASAR MODAL ASIA PASIFIK: LOKAL ATAU GLOBAL?

Abstract

The purposes of this study are to identify the empirical evidence whether the pricing
error from using domestic CAPM when the use of global CAPM is appropriate, whether the
security risk that is diversifiable domestically is also diversifiable globally, and whether the
use of domestic CAPM result in the same expected return as the use of global CAPM.
This research is based on the previous research on the cost of capital in the
international capital market conducted by Koedijk et al. (2002) and Karolyi and Stulz
(2001) without the control variable the foreign exchange rate. The researcher did not use
this variable because it is assumed here that the perfect international financial market and “the law of one price”. This research focused on 413 stock from the eight Pacific Asian
capital markets during 1998 to 2003 periods. The research used purposive sampling and
simple regression statistic method. The research was conducted on the market level and
individual securities.
The result of the research shows that on the most of the securities of the eight Pacific
Asian capital markets, there is no pricing error from the use of domestic CAPM when the
use of global CAPM is more appropriate. The security risk that is diversifiable domestically
is also diversifiable globally. Consequently, the domestic market portfolio contains all
information that is relevant to price assets. Generally, it can be concluded that the asset
pricing of the Pacific Asian capital markets was priced domestically. The use of domestic
CAPM is still relevant also shows a better performance than the global CAPM. The
implication is that independent of the issue whether international capital markets are fully
integrated, the domestic CAPM resulted in the same estimated return that the global
CAPM.

Keywords: Estimated return, domestic CAPM, global CAPM, and pricing error, domestic
market portfolio.