MODIFIKASI MODEL KONTEMPORER DAN KAUSALITAS ANTARA VOLUME PERDAGANGAN, BID-ASK SPREAD, RETURN SAHAM DAN VOLATILITAS RETURN (STUDI KASUS: INDEKS LQ-45)

Authors

  • Nina Valentika Universitas Pamulang

DOI:

https://doi.org/10.32493/sm.v1i1.2369

Abstract

Suatu variabel perdagangan saham mungkin dipengaruhi oleh variabel perdagangan saham lain pada periode yang sama, variabel perdagangan saham itu sendiri maupun variabel lainnya pada periode yang berbeda. Penelitian ini menyajikan modifikasi dari model Valentika N, Nugrahani E and Lesmana D (2017) pada data saham Indonesia dengan studi kasus LQ-45. Penelitian ini secara empiris menguji hubungan antara volume perdagangan, bid-ask spread dan return saham terhadap volatilitas return. Hasil regresi menunjukkan bahwa tidak cukup bukti untuk mendukung teori mixture of distribution hypothesis (MDH) pada pasar. Berdasarkan uji kausalitas Granger, terdapat dugaan bahwa perdagangan intraday sampel saham LQ-45 cenderung mengikuti teori MDH

Author Biography

Nina Valentika, Universitas Pamulang

Program Studi Matematika, FMIPA - UNPAM

References

Aden. 2018. Analisis Komparasi Estimasi Jumlah Penjualan Produk Dengan Metode Eksponensial Tunggal Pendekatan Adaptif Dan Metode Eksponensial Ganda Dua Parameter Dari Holt. Jurnal Saintika Unpam. Vol. 1, No. 1. 1-19.

Enders W. 2015. Applied Econometric Time Series. New York: John Wiley and Sons, Inc.

Juanda B, Junaidi. 2012. Ekonometrika Deret Waktu. Bogor (ID): IPB Press.

Paital RR, Sharma NK. 2016. Bid-Ask Spreads, Trading Volume and Return Volatility. Eurasian Journal of Economics and Finance. Vol. 4. No.1. 24-40.

Tandelilin E. 2010. Portofolio dan Investasi Teori dan Aplikasi. Yogyakarta (ID): Kanisius.

Valentika N, Nugrahani E, Lesmana D. 2017. Modeling Contemporaneous and Causal Relationships of Stock Trading Variables (Case Study of Indonesian Stock Exchange on LQ-45 Index). International Journal of Engineering and Management Research. Vol. 7. No.6. 146-151.

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Published

2019-02-26

Issue

Vol. 1 No. 1 (2019)

Section

Articles

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