Faktor Likuiditas Pada Return Saham BEJ (Perbandingan Standard dan Extended CAPM)  

Oleh:

Nuri, Lesmana Hidayah

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. 34 no. 10 (Oct. 2005), page 20-27.
Topik: capm; turnover; liquidity; extended CAPM; standard CAPM

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.25 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

This paper tries to compare the implementation of standard CAPM and extended CAPM in Jakarta Stock Exchange on explaining stock return. Using trading turnover and day active proportion in a month as a measure of liquidity and using monthly data between July 1998 trough June 2003, the finding is not conclusive. The result is quite interesting, both of standard and extended CAPM can be used in Jakarta Stock Exchange, but in different stock characteristic. Stocks with high liquidity are more appropriate using standard CAPM in explaining stock return. Meanwhile, stocks with medium liquidity are tending to use extended CAPM to be more powerful method in explaining stock return. Only turnover which is significant as a factor of liquidity, whereas day active proportion is not significant. This result is consistent with Hu (1997) and Datar et.al (1998) but not consistent with Bekaert et.al (2003). For the illiquid stocks, both of standard CAPM and extended CAPM is not the best model in explaining the stock return.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali