ABSTRAKPenelitian ini bertujuan untuk mempelajari apakah publikasi equity
research report di Iaman PT PEFINDO selama periodc Februari 2009 hingga
April 2010 berhasil meningkatkan Iikuiditas saham. Data-data saham baik harga,
volume, semua data yang digunakan dalam penelitian diperoleh dari
Bursa Efek Indonesia dan mempakan data closing harian. Dari dua metode
pengujian yang dilakukan terhadap likuiditas dengan proxy bid ask spread dan
percentage of zero return yang diuiji baik dengan uji t maupun regresi cross
sectional, hasilnya sama-sama menunjukkan bahwa publikasi equity research
report yang dilakukan di laman PEFINDO belum mampu rneningkatkan likuiditas
saham.
ABSTRACTThis research is an empirical study to determine whether the publications
of equity research report on PEFINT)O?s website during February 2009 until April
2010 increase the liquidity of stock or not. Daily data such as price, volume, bid
offer prices used in this research were obtained from the Indonesian Stock
Exchange. From the two measures used, the bid ask spread and the percentage of
zero return that were tested either using t test or cross sectional regression,
showed that publications of equity research report on PEFINDO?s website were
not able to increase overall stock liquidity.
