Analisis Hubungan antara Gabungan Proksi Investment Opportunity Set dan Real Growth dengan menggunakan Pendekatan Confimatory Factor Analysis

Abstract

This study develops and makes composite observed variables from individual investment opportunity set (IOS) proxies into one latent variable using structural equation models with a confirmatory factor analysis approach. Three composite IOS proxies are then created based on some individual IOS proxies, namely price related IOS, investment related IOS and variance related IOS. These composite IOS proxies are correlated with the real growth to prove that the model has consistency and ability to predict the real growth.

A confirmatory factor analysis results in all observed variables that make latent variables for each model at t+1 to t+4 show that they have a significant measurement model fit, except the composite IOS proxy based on variance.

Correlation tests for all models show that the results are consistent with those of early studies that have positive corelation with real growth. Composite IOS proxy based on variance has strong positive dan significant correlation with real growth at t+1 and t+2. Composite IOS proxy based on price and investment have positive and significant correlation at t+1 to t+4.