Abstract
“Pengaruh Ukuran Perusahaan, Bid Ask Spread, dan Volume Perdagangan Terhadap Price Reversal”is a research that purpose to analyze the factors that affect Price Reversal on companies listed in the Index LQ45 period November 8 - November 16, 2016. This research is an associative study to determine the relationship or influence between two or more variables.
 The population that used in this study are all companies listed in the Indonesia Stock Exchange during the study period. The method of collecting data using purposive sampling. Data that obtained from purposive sampling method is 44 companies. Analyze method which used in this research are multiple linear regression. Testing the hypothesis by using the adjusted coefficient of determination, t-statistic test and f-statistic test.
 The result of this research shows that firm size has positive and significant effect to Price Reversal, Bid Ask Spread has positive and significant effect to Price Reversal, and Trading Volume has positive and significant impact to Price Reversal.
 The implications of the above conclusions are that investors can pay attention to the firm's size factor, bid ask spread and trading volume as a basic for consideration to trade on the exchange to get the best return in accordance with the compensation of the risk that they received.
Highlights
Pasar modal adalah pasar untuk memperjualbelikan sekuritas yang umumnya memiliki umur lebih dari satu tahun, seperti saham dan obligasi (Tandelilin, 2010)
analyze the factors that affect price reversal on companies listed in LQ45 Index in period
The population used in this study was all companies listed in the
Summary
Variabel penelitian ini terdiri dari dua macam variabel, yaitu variabel terikat dan variabel bebas. Variabel terikat pada penelitian ini adalah price reversal, sedangkan variabel bebas pada penelitian ini adalah ukuran perusahaan, bid ask spread, dan volume perdagangan. Price reversal merupakan perubahan harga saham karena investor telah melakukan kesalahan dalam menetapkan harga saham atau mispricing (Santosa, 2010). Menurut Jogiyanto (2008), variabel price reversal diwakili oleh cumulative abnormal return (CAR) sebagai berikut: CAR i, t = Σ ARi,t. Karena total aset perusahaan bernilai besar, maka hal ini dapat disederhanakan dengan mentranformasikan ke dalam logaritma natural (Ghozali, 2011) sebagai berikut: Ukuran Perusahaan = Ln Total Assets. Bid-Ask Spread merupakan selisih dari harga beli tertinggi (bid price) dengan harga jual terendah (ask price) dari suatu saham pada satu hari perdagangan saham (Frijns et al, 2008). Variabel ini dihitung dengan relative bidask spread, sebagai berikut: Relative bid − ask spread = Askj.t − Bidj.t (Askj.t + Bidj.t)/2.
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