Which one is Effective in Setting Asset Pricing in Indonesia’s Capital Market, the CAPM or APT?

Capital Asset Pricing Model (CAPM) Theory and Arbitrage Pricing Theory (APT) had been known as two theories that most well-known in asset pricing in the capital market until now besides the Fama and French Factor Model Theories. By using monthly data return from Indonesia stock exchange composite index (IDX Composite) and sectoral stock exchange index (IDX Sectoral) for 5 years from 2013-2017 for APT model, it is known that no one of the economic risk factor in the model that could explain the stock return movement in Indonesia’s capital market. By using the same data for the APT model limited for four sectoral stock price index for the same years, however, the CAPM model could explain the stock return movement in Indonesia’s capital market. Accordingly, the business people in Indonesia’s capital market considered more on the stock price than the sistemic risk of the macroeconomic risks