SISI GELAP DARI RETURN SAHAM DI PASAR MODAL INDONESIA: LIKUIDITAS, DAN RISIKO SISTEMATIS

Laynita Sari; Rio Nardo

doi:10.31846/jae.v10i1.401

SISI GELAP DARI RETURN SAHAM DI PASAR MODAL INDONESIA: LIKUIDITAS, DAN RISIKO SISTEMATIS

Laynita Sari, Rio Nardo

Abstract

The COVID-19 outbreak has had a serious impact on investment activities in Indonesia. One of the aspects of concern in the midst of the coronavirus outbreak is the decrease in investor interest in capital market activities in Indonesia. Therefore, it can be predicted that there is a potential decrease in the level of profit (return) that will be received by shareholders. The purpose of this study is to investigate the influence of liquidity and systematic risks on returns. The analysis tool used to test the influence between panel variables is the analysis of panel data regression. The findings of this study are that liquidation has no significant effect on theÂ returnÂ of company shares. In addition, the second finding proves that systematic risk has a positive and significant effect on the return of the company's shares. Our findings are reinforced by the results ofÂ robustness testÂ statistically, which confirms that companies that have a high beta value, then theÂ returnÂ of the company's shares will tend to be high.

Full Text:

PDF

References

Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2015.02.009

Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets. https://doi.org/10.1016/S1386-4181(01)00024-6

Annisa, A., Didik, T., & Azib. (2014). Pengaruh risiko sistematis terhadap return saham. Prosiding Manajemen.

Bali, T. G., Peng, L., Shen, Y., & Tang, Y. (2014). Liquidity shocks and stock market reactions. Review of Financial Studies. https://doi.org/10.1093/rfs/hht074

Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies. https://doi.org/10.1093/rfs/hhm030

Dang, T. L., & Nguyen, T. M. H. (2020). Liquidity risk and stock performance during the financial crisis. Research in International Business and Finance, 52(March 2019), 101165. https://doi.org/10.1016/j.ribaf.2019.101165

Dewi, A. S., & Fajri, I. (2019). Pengaruh Likuiditas dan Profitabilitas terhadap Return Saham pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia. Jurnal Pundi, 3(2), 79. https://doi.org/10.31575/jp.v3i2.150

Hanafi, M. M. dan A. H. (2005). Analisis Laporan Keuangan Edisi Kedua. In Journal of Chemical Information and Modeling.

Ivanovski, Z., Stojanovski, T., & Narasanov, Z. (2015). Volatility and Kurtosis of daily stock returns at MSE. UTMS Journal of Economics, 6(2), 209â€“221.

Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.12.008

Nejadmalayeri, A. (2020). Asset liquidity, business risk, and beta. Global Finance Journal, April, 100560. https://doi.org/10.1016/j.gfj.2020.100560

Safitri, O., Sinarwati, & Atmadja, A. T. (2015). Analisis Pengaruh Profitabilitas, Likuiditas,dan Leverage Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar di BEI Tahun 2009-2013. Jurnal Akuntansi, 3(1), 1â€“12.

Terra, P. R. (2008). The cost of capital, corporation finance and the theory of investment. Revista de AdministraÃ§Ã£o e Contabilidade Da Unisinos. https://doi.org/10.4013/base.20082.07

Wang, A., Hudson, R., Rhodes, M., Zhang, S., & Gregoriou, A. (2020). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance Research Letters, February 2020, 101539. https://doi.org/10.1016/j.frl.2020.101539

Widiarini, S., & Dillak, V. J. (2019). Pengaruh Profitabilitas, Leverage, Likuiditas, Kebijakan Dividen, dan Ukuran Perusahaan Terhadap Return Saham (Studi Kasus pada Perusahaan Sektor Properti, Real Estate, dan Konstruksi Bangunan yang Terdaftar di Bursa Efek Indonesia Periode 2013-2017). Jurnal Ilmu Sosial, Politik & Humaniora, 2(2), 1â€“14.

Yusra, I., Hadya, R., Begawati, N., & Istiqomah, L. (2019). Panel data model estimation: the effect of managerial ownership, capital structure, and company size on corporate value Panel data model estimation : the effect of managerial ownership, capital structure, and company size on corporate value. Journal of Physics: Conference Series, 1175, 1â€“6. https://doi.org/10.1088/1742-6596/1175/1/012285

DOI: https://doi.org/10.31846/jae.v10i1.401