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Analisis model volatilitas return saham (studi kasus pada saham LQ 45 di Bursa Efek Jakarta)

Jurnal Keuangan dan Perbankan, Tahun XI, Nomor 1, Januari 2007
Journal from JIPTUNMERPP / 2008-01-09 09:44:54
Oleh : Anton, Imam Ghozali, Firmansyah, Diploma_3_of_Finance_and_Banking_-_Merdeka_Univers (ghozali@fe.undip.ac.id)
Dibuat : 2005-01-01, dengan file

Keyword : Return stock, random walk, asymmetric effect volatility, GARCH and EGARCH model

In invesment especially in stock, we have two factors, stock return and risk factor. Stock return can be seen from the percentage of random walk in stock return. Asymmetrick effect occurs when effect agains volatility differs from case of good news and bad news. The purpose of this research was to examine empirically the existence of phenomenon time varying volatility occuring in the fluctuation of stock return and volatility, the existence of asymmetric effect in stock return and volatility, also to estimate empirically the trading volume effecting the stock and volatility return. Data used in this research was daily index closing stock price and the amount of LQ 45 stock sold from 2003-2004 period. For this purpose basic estimation model "GARCH" and "EGARCH" were developed. The result of the research showed that stock return in Indonesia faced time varying volatility problem but leverage effect didnot happen on the volatility stock return, and stock return was not effected by trading volume. In reality the capital market of Indonesia is categorized as weak market.

Deskripsi Alternatif :

In invesment especially in stock, we have two factors, stock return and risk factor. Stock return can be seen from the percentage of random walk in stock return. Asymmetrick effect occurs when effect agains volatility differs from case of good news and bad news. The purpose of this research was to examine empirically the existence of phenomenon time varying volatility occuring in the fluctuation of stock return and volatility, the existence of asymmetric effect in stock return and volatility, also to estimate empirically the trading volume effecting the stock and volatility return. Data used in this research was daily index closing stock price and the amount of LQ 45 stock sold from 2003-2004 period. For this purpose basic estimation model "GARCH" and "EGARCH" were developed. The result of the research showed that stock return in Indonesia faced time varying volatility problem but leverage effect didnot happen on the volatility stock return, and stock return was not effected by trading volume. In reality the capital market of Indonesia is categorized as weak market.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiD
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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