Analisis pengaruh volatilitas terhadap return saham perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia periode 2007-2011 : pendekatan exponentially weighted moving average (EWMA)
Deskripsi
This research is classified as asset pricing study that conducted in order to identify the relationship between particular risk and return. Volatility is a natural proxy for risk. In this research, volatility estimated with Expected Weighted Moving Average (EWMA) method. We used the EWMA Method because it has been approved as the most accurate method to calculate volatility and the nature of volatility that varies over time. The results show that volatility has an impact on stock return and positively significantly related.Ada tabel