Pengaruh likuiditas saham terhadap imbal hasil saham perusahaan yang terdaftar di bursa efek Indonesia pada periode 2007 sampai 2016

Harry, Harry (2018) Pengaruh likuiditas saham terhadap imbal hasil saham perusahaan yang terdaftar di bursa efek Indonesia pada periode 2007 sampai 2016. Masters thesis, Universitas Pelita Harapan.

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Abstract

This research analyse the influence of stock liquidity to stock return in Indonesia. Where liquidity was as one of the factors that can explain stock return and the cause of illiquidity can be counted as cost of immediate execution and investors are willing to transact at a favoable price instead. The data used in this research is companies which has been listed in Indonesia stock exchange (IDX) in Indonesia which released a report in consecutive from year 2007-2016, the data used represents time series data. Data is collected from Indonesia stock exchange website and yahoo finance. The research result obtained that liquidity (Amihud ratio) influential in significant impact on the return portfolio, while the liquidity based on frequency is not influential to the return portfolio. / Tesis ini menganalisis pengaruh likuiditas terhadap stock return di indonesia. Dimana likuiditas dapat dikatakan sebagai salah satu faktor yang dapat menejelaskan stock return selain three factor model fama-french dan salah satu penyebab terjadinya illiquidity dapat dihitung sebagai cost dari immediate execution dan investor bersedia untuk melakukan transaksi pada harga yang favorable sebagai gantinya. Data yang digunakan dalam penelitian adalah seluruh perusahaan yang telah terdaftar di index kompas 100 pada bursa efek indonesia (bei) di indonesia yang menerbitkan laporan keuangan secara berkala dari tahun 2007 sampai 2016, data yang digunakan merupakan data time series, data yang peroleh dari yahoo finance, dan website indonesia stock exchange. Hasil penelitian diperoleh hasil bahwa likuiditas berdasarkan rasio amihud berpengaruh secara signifikan positif terhadap stock return yang diharapkan. Sedangkan likuiditas berdasarkan frekuensi tidak memberi pengaruh kepada stock return yang diharapkan. Maka hal ini dapat dilihat bahwa frekuensi tidak dapat menjelaskan tingkat likuiditas dalam mempengaruhi stock return yang diharapkan dengan baik.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Harry, HarryNIM00000021810UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorHulu, EdisonNIDN0315085902UNSPECIFIED
Additional Information: T 19-15 HAR p
Uncontrolled Keywords: Stock Return ; Smb ; Market Capitalization ; Pbv ; Liquidity ; Illiq ; Risk Free Rate ; Return Portfolio ; Imva ; Imvf ; Frequency
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Depositing User: Ms Devy Christiany Zega
Date Deposited: 20 May 2021 02:21
Last Modified: 17 May 2022 06:22
URI: http://repository.uph.edu/id/eprint/26054

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