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Analisis volatilitas idiosyncratic dan imbal hasil pada pasar modal Indonesia periode 1993-2013 = Analysis of idiosyncratic volatilities and returns in Indonesian stock market period 1993-2013

Ai Yunengsih; Zaafri Ananto Husodo, supervisor; Viverita, examiner; Dony Abdul Chalid, examiner (Fakultas Ekonomi dan Bisnis, 2014)

 Abstrak

[ABSTRAK
Berbagai studi empiris menemukan hubungan positif, netral atau bahkan negatif
antara risiko idiosyncratic dan imbal hasil. Nartea, et.al. (2011) menemukan
hubungan positif antara keduanya pada Pasar Modal Indonesia, dan strategi
perdagangan berdasarkan volatilitas idiosyncratic dapat menghasilkan profit.
Penelitian ini menguji topik yang sama dengan pendekatan non parametrik (Goyal
dan Clara, 2003). Hasil penelitian menyimpulkan bahwa risiko pasar dapat
memprediksi imbal hasil saham secara negatif dan konsisten terhadap model,
periode penelitian dan krisis ekonomi. Sementara, risiko idiosyncratic secara
konsisten tidak dapat memprediksi imbal hasil saham dan kemungkinan hanya
relevan dalam memprediksi imbal hasil saham berkapitalisasi kecil.

ABSTRACT
Empirical studies found positive relationship between idiosyncratic risk and
return, while others found either no relationship or even negative. Nartea, et.al.
(2011) showed positive relationship between them in Indonesian Stock Market,
and trading strategy based on idiosyncratic volatility could get profit at some
extent. I examine the topic with non parametric approach, which is indirect
decomposition method (Goyal and Clara, 2003). I find that market risk predicts
stocks? excess return negatively and robust to model, period and economic crisis.
More importantly, idiosyncratic risk consistently does not predict stocks? excess
return, however it could be relevant on predicting small stocks? excess return.;Empirical studies found positive relationship between idiosyncratic risk and
return, while others found either no relationship or even negative. Nartea, et.al.
(2011) showed positive relationship between them in Indonesian Stock Market,
and trading strategy based on idiosyncratic volatility could get profit at some
extent. I examine the topic with non parametric approach, which is indirect
decomposition method (Goyal and Clara, 2003). I find that market risk predicts
stocks? excess return negatively and robust to model, period and economic crisis.
More importantly, idiosyncratic risk consistently does not predict stocks? excess
return, however it could be relevant on predicting small stocks? excess return., Empirical studies found positive relationship between idiosyncratic risk and
return, while others found either no relationship or even negative. Nartea, et.al.
(2011) showed positive relationship between them in Indonesian Stock Market,
and trading strategy based on idiosyncratic volatility could get profit at some
extent. I examine the topic with non parametric approach, which is indirect
decomposition method (Goyal and Clara, 2003). I find that market risk predicts
stocks? excess return negatively and robust to model, period and economic crisis.
More importantly, idiosyncratic risk consistently does not predict stocks? excess
return, however it could be relevant on predicting small stocks? excess return.]

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 Metadata

No. Panggil : T42537
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : Depok: Fakultas Ekonomi dan Bisnis, 2014
Program Studi :
Bahasa : ind
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xiii, 69 pages : illustration ; 28 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
T42537 15-17-650569525 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20390200