scholarly journals Short Horizon Return Predictability di Pasar Modal Indonesia

2019 ◽  
Vol 1 (1) ◽  
pp. 41-54
Author(s):  
Erman Denny Arfianto ◽  
Ivan Irawan
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Positive Impact ◽  
Linear Regression Analysis ◽  
Return Predictability ◽  
Price Impact ◽  
Short Term ◽  
Intraday Data ◽  
Short Horizon ◽  
Effective Spread

Purpose- This study aims to examine the effect of effective spread, price impact, trading volume, stock prices, and volatility of returns on the predictability of short-term returns (short horizon return predictability). Methods- This research offers a new approach perspective which is a market microstructure with intraday data to measure short horizon return predictability as an efficient market inversion. The sample in this study was 64 non-financial companies listed on the KOMPAS100 Index during October 2017-March 2018. Intraday data used using the 5-minute frequency obtained from Bloomberg. This study uses multiple linear regression analysis. Finding- This study found that price impact, trading volume, stock prices, and volatility have a positive impact on the predictability of long-term returns. This study also found that effective spread does not have a significant impact on the predictability of short-term returns.

Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

2021 ◽  
Vol 4 (2) ◽  
pp. 234-245
Author(s):  
Farhan Maulana ◽  
Ahmad Mulyadi Kosim ◽  
Abrista Devi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Positive Impact ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After ◽  
Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3)  then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

scholarly journals FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45

2020 ◽  
Vol 2 (1) ◽  
pp. 43-54
Author(s):  
Sabna Ainazah Fatikhah ◽  
Siti Puryandani
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Multiple Linear Regression Analysis ◽  
Company Size ◽  
Stock Price Volatility ◽  
Company Stock ◽  
Bid Ask Spread

Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of company size, stock prices, stock price volatility and trading volume on the bid-ask spread of companies listed in the LQ45 index in the period 2015 to 2018. A total of 14 companies were taken as a purposive sampling sample in order to obtain 56 observational data. The analytical method used in this study is the method of multiple linear regression analysis. The results showed that stock prices and stock price volatility affect the bid-ask spread. While company size and trading volume do not affect bid-ask spread. Investors can consider the size of the company, stock prices, stock price volatility, and trading volume to avoid high spreads and get profit in the future.

scholarly journals Pengaruh Volume Perdagangan Saham, Volatilitas Laba, Dividend Yield, dan Ukuran Perusahaan Pada Volatilitas Harga Saham

2018 ◽  
pp. 2148
Author(s):  
Ni Wayan Sekar Andiani ◽  
Gayatri Gayatri
Keyword(s):  
Firm Size ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Dividend Yield ◽  
Stock Trading ◽  
Stock Price Volatility

This study aims to obtain empirical evidence on the effect of stock trading volume, earning volatility, dividend yield, and firm size on stock price volatility. This research was conducted on companies listed in index LQ 45 in Indonesia Stock Exchange 2012 until 2016. This research took the population of 45 companies with the number of samples of 21 companies selected through purposive sampling, so the number of samples observation for 5 years to 105 companies. The analysis technique in this research is multiple linear regression analysis. Based on the analysis results found that the stock trading volume does not affect the stock price volatility. Earning volatility has a negative effect on stock price volatility. This shows the higher volatility of profits owned by the company tends to reduce the interest of investors to invest or can reduce the volatility of stock prices. Dividend yield has a positive effect on stock price volatility. Which means that the higher dividend rate can affect the high investor interest to invest in the capital market, causing a stock price reaction. The firm size has a negative affects on stock price volatility. This proves the greater the size of the company indicates a stable corporate condition and able to reduce the volatility of stock prices. Keywords: Stock Trading Volume, Earning Volatility, Dividend Yield, Firm Size, Stock Price Volatility.

scholarly journals The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

The Winners ◽  
2021 ◽  
Vol 22 (2) ◽  
Author(s):  
Rianda Rizky Permata ◽  
Budi Purwanto ◽  
Wita Juwita Ermawati
Keyword(s):  
United States ◽  
Influencing Factors ◽  
Stock Prices ◽  
Trading Volume ◽  
The United States ◽  
Test Methods ◽  
Short Term ◽  
Cross Sectional ◽  
Fiscal Stimulus ◽  
Market Responses

The research intended to analyze the overreaction phenomenon in Islamic stocks due to COVID-19 as well as the influencing factors by utilizing different test methods and cross-sectional regression. The research employed data on the daily stock prices from August 9th, 2019 to October 26th, 2020 on the Jakarta Islamic Index (JII) and the stocks utilized during the period of events. The sample of this research utilized seven events related to COVID-19. The findings of this research reveals that the announcement of COVID-19 transmission and lockdown (Event 2) causes overreaction in winner stocks. Meanwhile, the overreaction phenomenon of loser stock is due to the announcement of the United States fiscal stimulus (Event 5) and the announcement of the PSBB (Event 6). Furthermore, the new normal announcement event (Event 7) triggers overreaction in the winner and loser stocks. The results indicate that Islamic stocks continue to have several transactions which are prohibited by the Fatwa DSN MUI in the short term. In this case, the variables that impact the overreaction phenomenon are shown to be substantially and negatively linked to leverage and market capitalization, while trading volume significantly influences and has a positive correlation with the overreaction phenomenon.

scholarly journals Options Trading Costs Are Lower than You Think

2020 ◽  
Vol 33 (11) ◽  
pp. 4973-5014 ◽  
Author(s):  
Dmitriy Muravyev ◽  
Neil D Pearson
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Fair Value ◽  
Price Impact ◽  
Trading Strategies ◽  
Trading Costs ◽  
Options Markets ◽  
Price Changes ◽  
Options Trading ◽  
Effective Spread

Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alter conclusions about the after-cost profitability of options trading strategies.

scholarly journals Linkage Stock Price, Trading Volume Activity, Stock Returns and Trading Frequency on Bid Ask Spread

2020 ◽  
Vol 1 (1) ◽  
pp. 28
Author(s):  
Alkusani Alkusani ◽  
Anita Handayani ◽  
Yosi Firda Rahmadani
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Independent Variable

The purpose of this study was to to examine the effect of stock prices, trading volume activities, stockreturns and trading frequency of the bid ask spread of LQ45 company. Determination of the studysample consist of 42 companies conducted using purposive sampling method. As for hypothesistesting and research instruments using multiple linear regression analysis SPSS 20.0. Result of thisstudy prove that all of the independent variable does not affect the bid ask spread

scholarly journals Analysis of Right Issue Announcement Effect toward Stock Price Movement and Stock Trading Volume within Issuer in Indonesia Stock Exchange

2016 ◽  
Vol 7 (1) ◽  
pp. 33
Author(s):  
Wilson Yaputra Yakup ◽  
Yoyo Cahyadi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Pearson Correlation ◽  
Linear Regression Analysis ◽  
Stock Trading ◽  
Before And After ◽  
The Right ◽  
Rights Issue

The purpose of this study were to identify and analyze the rights issue effect to the stock price, the effect of the rights issue on stock trading volume, the correlation between stock prices before and after the right issue, as well as the correlation between volume of trading activity before the right issue and after that event. The objects of the study are the companies listed on Indonesia Stock Exchange (JSX). The hypothesis stated that right issues have a significant effect on stock price on companies listed on the JSX, rights issues have a significant effect on the stock trading volume on companies listed on the JSX, there is a significant correlation between stock price before and after the rights issue on companies listed in JSX, there is a significant correlation between volume of the stock trading before the rights issue and after that event. Data analysis used were descriptive statistics, simple linear regression analysis and paired t-test. Hypothesis testing was performed by using the Pearson correlation test with significance level of 5%. The results show that the right issue has a positive effect but not significant toward stock prices of companies listed in JSX, right issue has a negative effect and not significant toward the trading volume activity (TVA) on companies listed in JSX.

scholarly journals Harga Saham (Studi Kausalitas Nilai Tukar Rupiah, Interest Rate, Inflasi, Dan Volume Perdagangan Saham) Pada Perusahaan Pertambangan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2012-2016

2021 ◽  
pp. 57-65
Author(s):  
Ai Elis Karlinda ◽  
Muhammad Fikri Ramadhan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Significant Positive Effect ◽  
The Interest Rate ◽  
Positive Effect

This study aims to determine the effect rupiah exchange rate, interest rate, inflation, and trading volume on the stock price mining company partially and simultaneously. The analytical method used is the method of multiple linear regression analysis and hypothesis testing with stock price monthly data, the rupiah exchange rate, the interest rate, the inflation, and the trading volume period in 2012-2016. The results showed that : 1) the exchange rate of rupiah is partially no significant positive effect on stock prices. 2) the interest rate is partially no significant positive effect on stock price. 3) the Inflation is partially no significant positive effect on stock prices. 4) and the trading volume is partially a significant positive effect on stock prices. 5) While the exchange rate of Rupiah, interest rate, inflation, and trading volume simultaneously a significant positive effect on stock prices of mining companies period in 2012-2016.

Pengaruh Investasi Asset Jangka Pendek Dan Aktiva Terhadap Laba Usaha Pada Pt. Taspen (Persero)

2018 ◽  
Vol 1 (1) ◽  
pp. 21
Author(s):  
Ilyas Lamuda
Keyword(s):  
Return On Investment ◽  
Quantitative Methods ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Rate Of Return ◽  
Short Term ◽  
Descriptive Data ◽  
Short Term Investment ◽  
Accounting Rate ◽  
Positive Effect

This study was to determine the effect of Short-Term Investments and Assets Assets in generating profits in the company PT. Taspen. The method of analysis used qualitative methods That is explained and analyzed by descriptive data. Quantitative methods to study whether the Short-term investment is profitable or not, can be determined either by the method Accounting Rate Of Return (ARR) That method that measures the level of profit from investments used to gain tersebut.dan the return on investment assets at PT. Taspen. To test the hypothesis then performed calculations using multiple linear regression analysis. Furthermore pengelohan data and hypothesis testing will be assisted by a computer program Softwere SPSS (Statistical Service and Solution product).Research shows that variable Short Term Asset Investments concluded that simultaneous effect relationship is negative and insignificant. But in partial, it provides a significant and positive effect on earnings. Assets Investments variable and not significant positive effect on earnings, but in partial, it provides a significant and positive effect on earnings.

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