Analisis determinan kecondongan tingkat pengembalian pasar (Skewness of market return) : studi empiris negara berkembang pada periode 2007-2011

Deskripsi

This study analyzed the determinant of the skewness of market return indices in some developing countries such as Bangladesh, China, Philippines, India, Indonesia, Korea, Malaysia, Pakistan, Thailand and Turkey, by using variables such as the return, volatility of return, skewness of return, trading volume, volatility of trading volume, and skewness trading volume by considering the possibility of an indirect relationship between the variables. This study uses regression and vector autoregression (VAR), and it showed that trading volume has positive effect on the skewness of return either directly or indirectly.Ada tabel