Analisis premi likuiditas di bursa efek Indonesia periode 2006 - 2011

Deskripsi

Research on the relationship of liquidity and return on capital markets has been developing since the first conducted by Amihud and Mendelson (1986), especially in terms of the measurement used. This study is conducted to examine the persistence liquidity premiums in Indonesia by studying a portfolio based on three measures of liquidity, zeros, Amihud, and FHT. Based on the analysis, I found that the demand for liquidity premium exists on the financial crisis. In addition, it is also found that investors adjust their investment decision in every six weeks. Ada tabel