Pengaruh Bid-ask Spread, Market Value & Volatilitas Harga terhadap Holding Period Saham-saham LQ45 Tahun 2003-2005  

Oleh:

Setyawan, I. Roni

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. 37 no. 1 (Jan. 2008), page 9-13.
Topik: Holding Period; Bid-ask Spread; Market Value & Price Volatility
Fulltext: MM15 37(1) 9-13.pdf (1.09MB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research aims to analyze the effect of bid-ask spread, market value & price volatility toward holding period in Jakarta Stock Exchange (JSx) in 2003-2005. The idea is derived from study of Amihud & Mendelson (1986); Atkins & Dyl (1997) and Huang & Wei (2002); which stated that stocks with the higher bid-ask spread will be held by investors in the longer time (a clientele effect theorem). Beside Amihud & Mendelson (1986) and Atkins & Dyl (1997) and Huang & Wei (2002) find the clientele effect theorem; their study succeed in identifying three variables that represented transaction cost in shares (stocks) trading i.e. bid-ask spread; market value & price volatility. Two important findings of this research are as follow: 1) bid-ask spread, market value & risk of return influence all together significantly toward holding period. It implies to supportthe clientele effect theorem from Amihud & Mendelson (1986) and Atkins & Dyl (1997) and Huang & Wei (2002) in JSx. 2) From three explanatory variables, only bid ask spread has not a significant effect toward holding period although its sign relevant to the hypotheses. Hence, it implicates the clientele effect among investors In JSx which probably affected by the market value and price volatility of the stocks.

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