Pengaruh likuiditas saham terhadap return saham individu dan portofolio di Bursa Efek Indonesia

Hartaty, Lina and Suciana, Vivi and Chua, Wilson (2020) Pengaruh likuiditas saham terhadap return saham individu dan portofolio di Bursa Efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This research addresses the impact of  liquidity and illiquidity against stock returns and portfolio return in Indonesia. Our research proves that Liquidity and Illiquidity have a significant impact against both stock returns and portfolio returns while we add other independent variables. By adding Fama and French Three Factor Model, Momentum, GDP (Gross Domestic Product), interest rate, and exchange rate, we were able to find an interesting conclusion in explaining returns in Indonesia’s market, while momentum and interest factors are not significant. / Penelitian ini membahas mengenai pengaruh likuiditas atau illikuiditas pada return saham maupun return portofolio pada market di Indonesia. Hasil penelitian kami menunjukkan bahwa likuiditas dan illikuiditas berpengaruh signifikan terhadap return saham dan portofolio dengan menambah beberapa independent variable lainnya. Dengan menambahkan Fama and French Three Factor Model, momentum, GDP (Gross Domestic Product) Growth, interest rate dan exchange rate, kami mendapatkan hasil yang menarik dalam menjelaskan return saham pada market di Indonesia, akan tetapi variable momentum dan interest rate tidak signifikan mempengaruhi.

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