Risiko Likuiditas dan Tingkat Pengembalian Harapan Investasi Pada Saham di Bursa Efek Indonesia = Liquidity Risk and Expected Stock Returns in Indonesia Stock Exchange

Disan, Alti Asri Zaenabi La Diba (2017) Risiko Likuiditas dan Tingkat Pengembalian Harapan Investasi Pada Saham di Bursa Efek Indonesia = Liquidity Risk and Expected Stock Returns in Indonesia Stock Exchange. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Ketika terjadi krisis finansial yang mendunia, karakteristik likuiditas dari su- atu aset menjadi sorotan. Aset yang tidak memiliki likuiditas atau aset yang ilikuid, sulit diperdagangkan karena biaya transaksi yang terbebani pada aset terkait. Hal ini membuat aset tersebut memiliki suatu risiko yang ditanggung dan disebut seba- gai risiko likuiditas. Tidak hanya itu, penurunan likuiditas pada keadaan pasar juga dapat menimbulkan gejolak yang memengaruhi kegiatan bertransaksi. Sehingga, penting bagi investor mengetahui risiko likuiditas yang ia tanggung. Terlebih kea- daan ini juga krusial bagi para regulator untuk menjaga likuiditas pasar. Acharya dan Pedersen (2005) mengembangkan teori mengenai Liquidity-adjsuted Capital Asset Pricing, sebagai model untuk melihat pengaruh risiko likuiditas terhadap re- turn investasi. Risiko likuiditas yang disinggung meliputi, (i) pergerakan antara likuiditas individu saham dengan likuiditas pasar, (ii) pergerakan antara return sa- ham dengan likuiditas pasar, serta (iii) pergerakan likuditas saham dengan return pasar. Dalam penulisan ini digunakan regresi data panel Driscoll and Kray Stan- dard Error. Terlihat hasil yang didapat bahwa risiko agregat likuiditas memberikan efek dan terbebankan pada saham di Bursa Efek Indonesia serta likuditas memili- ki efek yang lebih kuat pada keadaan pasar loyo dibandingkan saat keadaan pasar aktif. / In regards to global financial crisis, characteristic of liquidity asset become a spotlight. Asset which doesn't have liquidity or called as an illiquid asset is fo- und difficult to be traded in the market because of transactional cost beared by this asset. Such issue increases the risk of an asset and known as the liquidity risk. Ne- vertheless, decreasing liquidity upon market condition also causes a huge impact to trading activities. Therefore, it is important for investors to understand the liquidity risk of their asset. Moreover, it is crucial for public regulators to maintain market liquidity. Acharya and Pedersen (2005) developed theory about Liquidity-adjusted Capital Asset Pricing, as model to examine the effect of systematic liquidity risk on stock return. The liquidity risks are mention as a (i) co-movement between indivi- dual stock liquidity and market liquidity, (ii) co-movement between stock returns and market liquidity, and (iii) the co-movement between stock liquidity and market returns. In conducting this study, the method used is panel data Driscoll and Kray Standard Error regression. The result shown, aggregate liquidity risk affect and is priced for stock in Indonesia Stock Exchange also the effect of liquidity is stronger in bear markets than in bull markets.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Disan, Alti Asri Zaenabi La DibaNIM00000004347UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203kie.saputra@uph.edu
Thesis advisorKim, Sung SukNIDN8963400020sungsuk.kim@uph.edu
Additional Information: 96916 ; SK 112-15 DIS r
Uncontrolled Keywords: liquidity-adjusted capital asset pricing; risiko likuiditas; asset pricing; regresi panel data
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Stefanus Tanjung
Date Deposited: 30 Oct 2023 07:11
Last Modified: 01 Nov 2023 03:38
URI: http://repository.uph.edu/id/eprint/58555

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