PENGARUH RISIKO SISTEMATIS DAN LIKUIDITAS TERHADAP TINGKAT PENGEMBALIAN SAHAM BADAN-BADAN USAHA YANG GO-PUBLIC DI BURSA EFEK JAKARTA PADA TAHUN 1999
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https://doi.org/10.9744/jmk.4.1.pp.%2015-25Abstract
Research on determinant variables of rate of return has frequently been undertaken%2C generally with the conclusion that stock risk is very dominant for an investor in making investment decisions in the capital market. But there is another factor that also needs to be considered%2C stock liquidity.%0D%0AThe purpose of this research is to test how systematic risk and stock liquidity%2C measured by the size of the spread between the bid and asked prices%2C influence stock returns of public companies listed on the Jakarta Stock Exchange and to know proportion of each variable%5C%27s influence on the return of individual stocks.%0D%0AThe results from this study show that systematic risk and stock liquidity%2C measured by the size of the spread between the bid and asked prices%2C had a significant effect on the return of individual stocks of public companies in Indonesia. Hypothesis tests for each variable showed that systematic risk had a greater effect on returns than stock liquidity.Abstract in Bahasa Indonesia :
Penelitian mengenai variabel-variabel penentu tingkat pengembalian saham yang banyak dilakukan umumnya selalu menyimpulkan bahwa risiko saham sebagai salah satu variabel penentu sangat mendominasi dalam setiap pertimbangan yang dilakukan oleh para investor dalam memutuskan untuk menginvestasikan dananya di pasar modal. Namun sebenarnya ada variabel penentu lain yang juga akan mempengaruhi tingkat pengembalian saham yang perlu dipertimbangkan pula%2C yaitu likuiditas saham. %0D%0ATujuan dari penelitian ini adalah untuk menguji bagaimana pengaruh risiko saham dalam hal ini adalah risiko sistematis dan likuiditas saham yang diukur dengan besarnya bid-ask spread terhadap tingkat pengembalian saham dari badan-badan usaha yang go public di PT.BEJ%2C dan untuk mengetahui seberapa besar proporsi masing-masing variabel dalam mempengaruhi tingkat pengembalian saham.%0D%0AHasil akhir dari penelitian ini menunjukkan bahwa baik risiko sistematis maupun likuiditas saham yang diukur dengan besarnya bid-ask spread mempunyai pengaruh yang signifikan terhadap tingkat pengembalian saham dari badan-badan usaha yang go public di Indonesia. Dari uji hipotesis didapatkan hasil bahwa risiko sistematis lebih mempengaruhi tingkat pengembalian suatu saham dibandingkan dengan likuiditas saham yang diukur dengan besarnya bid-ask spread. systematic+risk%2C+stock+liquidity%2C+bid-ask+spread%2C+stock+return.
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Published
2004-06-04
How to Cite
A.Saputra, K., Elly, E., & Leng, P. (2004). PENGARUH RISIKO SISTEMATIS DAN LIKUIDITAS TERHADAP TINGKAT PENGEMBALIAN SAHAM BADAN-BADAN USAHA YANG GO-PUBLIC DI BURSA EFEK JAKARTA PADA TAHUN 1999. Jurnal Manajemen Dan Kewirausahaan, 4(1), pp. 15-25. https://doi.org/10.9744/jmk.4.1.pp. 15-25
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