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.v2i2.223Kata Kunci:
BISNIS-27, Hubungan Kontemporer, MDH, SIAHAbstrak
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.
Referensi
N. Valentika, "Modifikasi Model Kontemporer dan Kausalitas Antara Volume Perdagangan, Bid-Ask Spread, Return Saham dan Volatilitas Return (Studi Kasus: Indeks LQ-45)," Jurnal Statistika Matematika. pp. 1-9. 2019.
R. R. Paital, “Bid-Ask Spreads, Trading Volume, and Return Volatility: Intraday Evidence from Indian Stock Market” Eurasian Journal of economics and Finance, pp. 24-40, 2016.
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.
L. K. Sari, “Permodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia” JEPI, pp. 35-52, 2018.
E. Haze, "1 Lot Berapa Lembar Saham. http://www.sahamgain.com/2018/01/1-lot-berapa lembar-saham.html," 2018.
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Hak Cipta (c) 2024 Andik Andi Agung, Arfatuz Zaqiyah, Muhammad Rozikin, Moh. Shohibul Wafa, Agusyarif Rezka Nuha
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