Faktor penentu likuiditas pasar saham gabungan dan likuiditas saham individu di bursa efek Indonesia

Plangiten, Angele Christina and Gani, Brian Eugene and Agustinus, Irvan (2020) Faktor penentu likuiditas pasar saham gabungan dan likuiditas saham individu di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Liquidity is generally known as the ability of an asset or security to be converted into cash or assets that are easier to liquidate. But liquidity is a complex concept where liquidity can affect the price of existing securities, and can create greater transaction costs. From this it can be seen the importance of liquidity, especially also in the stock market. This study aims to determine liquidity determinants in the combined stock market and individual shares. This study uses 6 liquidity measurements and 6 independent variables and quantitative research with regression using timeseries data. The analytical method used is descriptive statistical analysis and multiple linear regression analysis consisting of the coefficient of determination (R Square) test, t-statistical test (partial), and f-statistical test (simultaneous). The data used is daily trading data of shares listed on the Indonesia Stock Exchange for a period of 9 years starting from January 1, 2010 to December 31, 2018. From the results of filtering data with several criteria there were 48 selected shares in this study that became observations. Based on the results of hypothesis testing from the Market Liquidity and Individual Stock Liquidity studies with 6 liquidity measurements as the dependent variables namely QDEP, VDEP, QSPR, PQSPR, TVOL, TVAL and six variables i.e. independent, BI Rate, IHSG level, Market Return, GDP Announcement Day (dummy), CPI Announcement Day (dummy), and Ramadhan Effect (dummy), 3 hypotheses are accepted and 3 hypotheses are rejected. / Likuiditas secara umum dikenal sebagai seberapa besar kemampuan suatu aset atau sekuritas dapat diubah menjadi kas atau aset yang lebih mudah untuk dicairkan. Tetapi likuiditas merupakan konsep yang kompleks dimana likuiditas dapat mempengaruhi harga sekuritas yang ada, dan dapat membuat biaya transaksi lebih besar. Dari hal tersebut dapat dilihat pentingnya suatu likuiditas, terutama juga di dalam pasar saham. Penelitian ini bertujuan untuk mengetahui faktor-faktor penentu likuiditas di pasar saham gabungan dan saham individu. Penelitian ini menggunakan 6 pengukuran likuiditas dan 6 variabel independen dan penelitian kuantitatif dengan regresi menggunakan data timeseries. Metode analisis yang digunakan adalah analisis statistika deskriptif dan analisis regresi linier berganda yang terdiri dari uji koefisien determinasi (R Square), uji t-statistik (parsial), dan uji f-statistik (simultan). Data yang digunakan merupakan data daily trading saham-saham yang terdaftar di Bursa Efek Indonesia selama kurun waktu 9 tahun mulai dari 1 Januari 2010 hingga 31 Desemeber 2018. Dari hasil filtering data dengan beberapa kriteria terdapat 48 saham terpilih dalam penelitian ini yang menjadi observasi. Berdasarkan hasil pengujian hipotesis dari penelitian Likuiditas Pasar dan Likuiditas Saham individu dengan 6 pengukuran likuiditas sebagai variabel dependen yaitu QDEP, VDEP, QSPR, PQSPR, TVOL, TVAL dan enam variabel independen yaitu, BI Rate, tingkat IHSG, Return Pasar, Hari Pengumuman PDB (dummy), Hari Pengumuman IHK (dummy), dan Ramadhan Effect (dummy) diperoleh 3 hipotesis yang diterima dan 3 hipotesis ditolak.

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