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Pembuktian empiris commonality in liquiditas dari saham Indonesia dengan menggunakan pengukuran illiquidity cost
For a long period of time liquidity has been categorized as an individual factor from a single stock. This phenomenon has been change since Chordia (2000) finds that the liquidity stock from NYSE is a common factor among the market wide. Another new measurement for liquidity also has been introduced by Amihud (2002) by dividing the absolute return with the trading volume. A goal from this study is to measure whether the ?Illiquidity Cost? of Amihud ratio could explain the liquidity in Indonesian Stock Exchanges (IDX). The other goals is also to find if there any empirical evidence of ?Common Liquidity? in the IDX within 2001 ? 2009 periods and to find if there is any difference liquidity characteristic from firm?s size and industry. A graphical plot of Illiquidity Cost could explain the liquidity condition of IDX and a realized Illiquidity cost has a significant negative effect to actual return. In general there is no evidence of common liquidity in IDX but around 50% of the active stock is being affected by Common Liquidity. The firms from the largest market capital are significantly affected with the common liquidity but there is no significant evidence from the group of industry.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7035 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| Edisi | - |
| Subjek | Share valuation Liquidity Systematic risk Common liquidity |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xvi, 75 p. : diagr. : il. ; 30 cm & lamp |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |