ABSTRAK
Penelitian ini menguji tentang hubungan antara volume dan frekuensi terhadap volatilitas imbal hasil sebagai salah satu proksi indikator sebaran informasi perusahaan syariah di pasar modal islami Saudi Arabia Stock Exchange dan pasar modal campuran Jakarta Stock Exchange . Periode sampel data dimulai dari 11 April 2011 sampai dengan 31 Oktober 2017. Hasil penelitian menunjukan bahwa baik volume dan frekuensi signifikan menurunkan tingkat volatility persistence. Proses sebaran informasi Mixture of Distribution Hypothesis MDH terdapat pada 58 perusahaan di Indonesia dan 48 di Saudi Arabia. Proses sebaran informasi Sequential Information Arrival Hypothesis SIAH terdapat pada 4 perusahaan di Indonesia dan 2 di Saudi Arabia. Perusahaan syariah Indonesia yang mengikuti asumsi SIAH terdapat pada 4 perusahaan VOKS, ACES, LION, dan EPMT . Perusahaan syariah Indonesia dengan asumsi SIAH memiliki model transaksi kompetitif. Hal tersebut mengindikasikan bahwa informed traders Indonesia memiliki perspektif opini yang sama sehingga terjadi kompetisi. Sedangkan, perusahaan syariah Saudi Arabia yang mengikuti asumsi SIAH teramati pada 2 perusahaan SII dan QAC . Perusahaan syariah Saudi Arabia dengan asumsi SIAH memiliki model transaksi strategik. Hal tersebut mengindikasikan bahwa informed traders Saudi Arabia tidak memiliki perspektif opini yang sama atas informasi sehingga terdapat monopolist informed traders. Karakteristik perilaku pasar syariah Indonesia yang sebagian besar adalah model transaksi kompetitif 98 dikarenakan rerata tingkat kapitalisasi pasar perusahaan syariah Indonesia rendah. Sedangkan, karakteristik perilaku pasar syariah Saudi Arabia sebagian besar adalah model transaksi strategik 62 dikarenakan perilaku pelaku pasar Saudi Arabia bersifat tidak gambling, konservatif, risk aversion tinggi, dan tidak berspekulasi.Kata kunci: SIAH, MDH, Volatilitas Imbal Hasil, Volume, Frekuensi
ABSTRACT
This study examines the relationship between volume and frequency of return volatility as one of the proxies of information sharing indicator of Shariah in Islamic stock exchange Saudi Arabia Stock Exchange and Jakarta Stock Exchange. The sample data period obtained starts from April 11, 2011 to October 31, 2017. The results show that both volume and frequency significantly decrease the level of volatility persistence. The process of distribution of Mixture of Distribution Hypothesis MDH information is existed in 58 companies in Indonesia and 48 in Saudi Arabia. Sequential Information Arrival Hypothesis SIAH information distribution process is existed in 4 companies in Indonesia and 2 in Saudi Arabia. Indonesian Shariah companies that follow the SIAH assumption are existed in 4 companies VOKS, ACES, LION, and EPMT . Indonesian Shariah companies with SIAH assumptions have a competitive transaction model. It indicates that informed traders Indonesia have the same opinion perspective that competition occurs. Meanwhile, Saudi Arabia 39 s Shariah companies following SIAH assumptions are existed in two companies SII and QAC . Saudi 39 s Shariah companies with SIAH assumptions have a strategic transaction model. It indicates that informed traders Saudi Arabia do not have the same opinion perspective on information so that there are monopolist informed traders. The characteristic of Shariah market behavior in Indonesia is mostly competitive transaction model 98 due to low market capitalization rate of Shariah firms. Meanwhile, the characteristic of Saudi Arabia 39 s Shariah market behavior is largely a strategic transaction model 62 because the behavior of Saudi Arabian market players is not gambling, conservative, high risk aversion, and not speculating.Key words SIAH, MDH, Return Volatility, Volume, Number of Trades |
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