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Analisis model volatilitas return saham (Study Kasus Pada Saham LQ 45 Di Bursa Efek Jakarta)

Jurnal Keuangan dan Perbankan, Volume 11, Nomor 1, Januari 2007
Journal from JIPTUNMERPP / 2010-06-21 23:17:06
Oleh : Anton ; Imam Gozali ; Firmansyah, Diploma 3 of Finance and Banking Merdeka University Malang (jurkeubank@yahoo.com)
Dibuat : 2007-01-01, dengan file

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

In ivesment especially in stock, we have two fators, Stock return can be seen from the percentage of random walk in stock return. Asymmetric effect occurs when effect against volatility diffes from case of good news and had news. The purpose of this research was to examine empirically the exixtence of phenomenon time varying volatility occuring in the fluctuation of stock return and volatility, the existence of asymentric effect instock return and volatility, also to estimate empirically the trading volume effecting the stock and volatility return. Data used in this reseach was daily index closing stock price and the amount of LQ 45 stock sold from 2003-2004 period. For this purpose basic estimaton model “GARCH” and “EGARCH” were developed . The result of the reseach showed that stock return in Indonesia faced time verying volatility prolem but leverage effect did not 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 ivesment especially in stock, we have two fators, Stock return can be seen from the percentage of random walk in stock return. Asymmetric effect occurs when effect against volatility diffes from case of good news and had news. The purpose of this research was to examine empirically the exixtence of phenomenon time varying volatility occuring in the fluctuation of stock return and volatility, the existence of asymentric effect instock return and volatility, also to estimate empirically the trading volume effecting the stock and volatility return. Data used in this reseach was daily index closing stock price and the amount of LQ 45 stock sold from 2003-2004 period. For this purpose basic estimaton model “GARCH” and “EGARCH” were developed . The result of the reseach showed that stock return in Indonesia faced time verying volatility prolem but leverage effect did not 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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  • Editor: Wiwik Supriyanti, Dra. SS.