Implementation of A Contemporary Model Between Trading Volume, Bid-Ask Spreads, And Stock Return Volatility (Case Study : The Business-27 Index)
DOI:
https://doi.org/10.62375/jsintak.v2i2.223Keywords:
BISNIS-27, Hubungan Kontemporer, MDH, SIAHAbstract
Artikel ini memuat analisis hubungan antar variabel perdagangan saham yakni volume perdagangan, bid-ask spreads, dan volatilitas return saham dalam ruang lingkup dua hipotesis utama yakni the mixture of distribution hypothesis (MDH) dan the sequential information arrival hypothesis (SIAH). Hasil perhitungan mengidentifikasi bahwa pada sebagian besar saham terdapat hubungan kontemporer positif antara volume perdagangan terhadap voltilitas return tidak cukup bukti mendukung teori MDH.
References
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A. Agung, “Modification of Contemporanous and Causality Model of Stock Trading Measured by Depth, Volatility, Trading Volume and Bid-Ask Spread (Study Case: Jakarta Islamic Index),” International Journal of Engineering and management Research, vol. 30, no. 2, pp. 141-145, 2017.
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