Pengaruh uncertainty terhadap illiquidity return premium di Indonesia

Rustam, Erica Ertanti (2021) Pengaruh uncertainty terhadap illiquidity return premium di Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini bertujuan untuk meneliti pengaruh uncertainty terhadap illiquidity return premium di Indonesia. Penelitian dilakukan terhadap perusahaan terbuka di Indonesia dalam periode April 2006 sampai dengan Maret 2016. Hasil penelitian menunjukkan bahwa uncertainty memberikan pengaruh positif terhadap illiquidity return premium. Secara rata-rata, saham yang tidak likuid memberikan return 16,4% lebih besar dibandingkan saham dengan likuiditas tinggi. Dalam penelitian ini juga ditemukan bahwa hubungan antara uncertainty dan illiquidity return premium tidak menguat ketika likuiditas pasar rendah.

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