PENGARUH IDIOSYNCRATIC VOLATILITY, MARKET RISK, DANSIZETERHADAPRETURN SAHAM PADA PERUSAHAAN SEKTOR NON-KEUANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2012-2016
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Keywords:
Return Saham, Idiosyncratic Volatility, Market Risk, Size
Abstract
Tujuan dari penelitian ini adalah menguji pengaruh idiosyncratic volatility, market risk, dan size, sebagai variabel independen terhadap return saham pada perusahaan non-keuangan (delapan sektoral) yang ada di Bursa Efek Indonesia. Penelitian ini menggunakan perspektif kuantitatif dengan regresi linier dan model dalam data panel untuk semua pengamatan penelitian yang digunakan dalam penelitian ini. Jumlah observasi dalam penelitian ini adalah 1440, terdiri dari 288 perusahaan yang telah terdaftar di Bursa Efek Indonesia periode 2012-2016. Hasil penelitian menunjukkan bahwa idiosyncratic volatility berpengaruh negatif signifikan terhadap return saham. Market risk dan Size tidak berpengaruh signifikan terhadap return saham.
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References
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Asri, I Gusti Ayu Amanda Yulita, I Ketut Suwarta, 2014, Pengaruh Faktor Fundamental dan Ekonomi Makro Pada Return Saham Perusahaan Consumer Good, Jurnal Akuntansi, Universitas Udayana.
Bali, Turan G., dan N. Cakiki, 2006, Idiosyncratic Volatility and the Cross-Section of Expected Returns, Working Papers, City University of New York.
Berggrun, Luis, Edmundo Lizarza, dan Emilio Cardona, 2016, Idiosyncratic Volatility and Stock Returns: Evidence from the MILA, Research in International Business and Finance, 37: 422-434.
Bhardwaj, R.K. and Brooks, L.D., 1993, Dual beta from bull and bear market: reversal of the size effect, The Journal of Financial Research, Vol.XVI No.4 Winter 1993.
Bradrania, M. Reza, Maurice Peat, dan Stephen Satchell, 2015, Liquidity Cost, Idiosyncratic Volatility, and Expected Stock Returns, International Review of Financial Analysis, 42: 394-406.
Carhart, M., 1997, On Persistence of Mutual Fund Performance, Journal of Finance, 52: 57-82.
Chen N.F., R. Roll dan S.A. Ross, 1986, Economic Forces and the Stock Market, Journal of Business, Vol. 59(3): 383-403.
Clinebell, J.M.; Squires, J.R. and Stevens, J.L., 1993, Investment performance over bull and bear markets: Fabozzi and Francis revisited, Quarterly Journal of Business and Economics, Vol.32 No.4
Fama, Eugene F. dan Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance, 47(2): 427–65.
Fama, Eugene F. dan Kenneth R. French,1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33(1): 3–56.
Published
2018-03-01
Section
Bidang Manajemen (M)
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