Dinamika hubungan return saham dan volume perdagangan serta pengaruhnya terhadap volatilitas indeks saham sektoral

Ariyanti, Wenny (2016) Dinamika hubungan return saham dan volume perdagangan serta pengaruhnya terhadap volatilitas indeks saham sektoral. Masters thesis, Institut Pertanian Bogor.

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Abstract

Indonesia capital market is growing rapidly and dynamically, as well as it has an important role for economic growth, together with its challenge for the development of the country. Stock return, volatility and trading volume are important variables for trading activity in capital market as it can provide relevant information to the market. The aim of this study is to determine the dynamic of the relationship between stock returns and trading volume on the sectoral indices for Indonesia Stock Exchange at the time before and after the subprime mortgage crisis and the Greek crisis. Furthermore, this study also investigated the effect of trading volume on return volatility. VAR model shows that information about trading volume in previous period are significantly positive to the current return in some sectors including property, real estate and building construction sector, consumer goods sector, manufacture sector, transportation and infrastructure sector, also trade, services and investment sector. While the the information of previous return to current trading volume are significantly positive in agriculture sector, trade, services and investment sector, mining sector, property, real estate and building construction sector, as well as manufacture sector. Causal relationship between return and trading volume occurs only in the agricultural sector in pre subprime mortgage crisis period. Whereas, before the Greek crisis period its only has relationship from return to trading volume. Moreover, directional relationship from return to trading volume is also found in property, real estate and building construction sector in pre subprime mortgage crisis period. EGARCH model found that in all sectors except agriculture sector, the coefficient of asymmetric term is negatively significant, implying that bad news produces a larger impact on the volatility in the consequent period than good news. It is because of the characteristics of the agricultural sector which has high price with low trading volume, indicating that investors in this sector are tend to be a long term investor. Mostly, agriculture sector contains with large-scale industries with type of investor who is expecting long-term gains, such as dividends, rather than return from the trading activity. In this research also found evidence that trading volume has a power to predict the dynamics of return volatility in the future. The subprime mortgage crisis has a significant positive effect on volatility in all sectors except property, real estate and building construction sector. On the other hand, the Greek crisis has positively significant effect on all sectors except agriculture sector and mining sector, which has a negative significance. The findings captured an asymmetric information on stock return in Indonesian stock exchange. The result of this study can be used as consideration for investors in making decision before investing on stock exchange. For risk takers investor who looking for return of trading activity, investing in non-farm sector are recommended. It is because non-farm stocks are more volatile with high trading volume activity each day, so that speculative investor are able to use past information to predict the current return. For risk-averse investors, investing in agricultural sector stocks is more recommended because it is less volatile because most of the investor are long term investor type instead of traders. So that negative information (bad news) has not large impact to the volatility.

Item Type: Thesis (Masters)
Uncontrolled Keywords: EGARCH, return saham, VAR, volatilitas return, volume perdagangan, Eviews 6 EGARCH, return volatility, stock return, trading volume, VAR
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 08 Feb 2018 08:18
Last Modified: 08 Feb 2018 08:18
URI: http://repository.sb.ipb.ac.id/id/eprint/2933

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