Hansen, Evelyn (2015) Pengaruh idiosyncratic risk, likuiditas, dan momentum terhadap return saham pada bursa efek Indonesia. Masters thesis, Universtitas Pelita Harapan.
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Abstract
Keputusan investasi merupakan keputusan penting dalam manajemen keuangan untuk mencapai value creation atau penciptaan nilai. Dengan demikian, hubungan antara risiko dan return dari investasi perlu diperhatikan dalam pengambilan keputusan investasi, termasuk dalam investasi saham. Likuditas dan momentum adalah dua variabel penting lain yang memiliki hubungan dengan return. Tujuan penelitian ini adalah menganalisa pengaruh idiosyncratic risk, likuiditas, dan momentum terhadap return saham. Penelitian ini menggunakan 93 saham dari IDX dengan purposive sampling dalam periode 5 tahun. Tiga hipotesis dalam penelitian ini dianalisa menggunakan EGARCH. Hasil penelitian menunjukkan bahwa idiosyncratic risk dan likuiditas berpengaruh positif signifikan terhadap return saham, sementara momentum tidak menunjukkan pengaruh signifikan. Penelitian ini merekomentasikan investor atau manajer investasi untuk memperhatikan idiosyncratic risk pada portfolio yang under-diversified, karena idiosyncratic risk yang tinggi dapat memberikan return saham yang tinggi. Selain itu, investor atau manajer investasi dapat memprioritaskan saham likuid dalam menyusun portfolio / In order to achieve value creation, investment decision is an important decision in financial management. Therefore, the effect of risk on return should be considered, including for stock investment. Stock liquidity and stock momentum are two other variables which are important to return. The purpose of this research is to analyze the effects of idiosyncratic risk, stock liquidity, and stock momentum towards stock return. Three hypotheses were analyzed using EGARCH with 93 stocks in the Indonesian Stock Exchange for 5 years or research period. As the result, idiosyncratic risk and stock liquidity has a positive significant effect on stock return, while stock momentum has no significant effect on stock return. This research recommends investors or fund managers to consider idiosyncratic risk in investing, particularly for under-diversified portfolio, because high idiosyncratic risk will give high stock return as the compensation. Besides, investors or fund managers should also prioritize to invest in liquid stocks
Item Type: | Thesis (Masters) | ||||||
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Uncontrolled Keywords: | idiosyncratick risk; likuiditas saham; momentum saham; return saham; bursa saham Indonesia; egarch; stock liquidity; stock momentum; stock return; Indonesian stock exchange | ||||||
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||||
Divisions: | University Subject > Current > Faculty/School - UPH Surabaya > Business School > Master of Management Current > Faculty/School - UPH Surabaya > Business School > Master of Management |
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Depositing User: | Rafael Rudy | ||||||
Date Deposited: | 10 Nov 2022 08:40 | ||||||
Last Modified: | 10 Nov 2022 08:40 | ||||||
URI: | http://repository.uph.edu/id/eprint/51079 |
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