Pengaruh short selling terhadap volatilitas dan likuiditas pasar saham nasdaq = The impact of short selling on the volatility and liquidity of nasdaq stock markets united states

Aldiano, Eric (2017) Pengaruh short selling terhadap volatilitas dan likuiditas pasar saham nasdaq = The impact of short selling on the volatility and liquidity of nasdaq stock markets united states. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Perdebatan antara berbagai pelaku pasar saham tentang short selling masih berlanjut. Penentang dari short selling berpendapat bahwa hal itu mengganggu pasar saham yang menyebabkan panic selling, volatilitas tinggi, dan pasar berantakan. Jadi, Tugas Akhir ini melihat pengaruh short selling terhadap volatilitas dan likuiditas pasar saham. Saham yang dipilih adalah saham NASDAQ Amerika Serikat dengan data harian tahun 2009-2010, dan data yang digunakan adalah short volume, highest price, lowest price, adjusted close price,total volume. Dengan menggunakan metode Vector Autoregressive (VAR) yang akan dilanjutkan dengan menggunakan Granger kausalitas test. Dan hasilnya menunjukkan bahwa volume short selling tidak Granger kausalitas terhadap Volatilitas tetapi Volatilitas Granger kausalitas terhadap volume short selling. Selain itu likuiditas tidak Granger kausalitas terhadap volume short selling, tetapi volume short selling Granger kausalitas terhadap likuiditas pasar. / The debate among various market participants on the short-selling continues. Opponents of short selling argues that it disrupts orderly by causing panic selling, high volatility, and market crashes. So this paper investigates the impact of short selling on market volatility and liquidity. Preferred stock is a stock NASDAQ United States with daily data 2009-2010, and the data used are short volume, the highest price, Lowest price, adjusted close price, and the total volume. By using Vector Autoregressive (VAR), and read by using Granger causality test. And the results showed that the volume of short selling does not Granger causality against volatility, but volatility Granger causality to the volume of short selling. Besides liquidity does not Granger causality against short selling volume, but the volume of short selling Granger causality on the liquidity of the market.

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Thesis (Bachelor)

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