Perilaku Weekend Effect dan Perubahan Pemerintahan Pada Aktivitas Perdagangan dan Return Saham  

Oleh:

Siahaan, Bona Christanto

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 11 no. 1 (Jun. 2009), page 89-105.
Topik: Trading Activity; Stock Return Volability GARCH; Weekend Effect; Government

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ12.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

The research aims to examine the effect of trading activity to return volatility controlled by the change of incumbent government. The proxies of trading activities are trading volume, value and frequency. By using GARCH technique, and sample of 7 firms in consumer goods industry listed in JSX, during 20 May 1998 to 31 October 2006, the study showed that there was no effect of trading volatility to stock return except for Indofood Sukses Makmur Tbk and HM Sampoerna Tbk, and only for frequency volatility. The results also reveal that there was no weekend effect, except for Ultrajaya Tbk. Howerver, the change of incumbent government can explain the stock return volatility.

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