PENGARUH HARGA, VOLATILITAS RETURN, DAN VOLUME TRANSAKSI SAHAM TERHADAP LIKUIDITAS SAHAM
Keywords:
relative bid-ask spread, stock turnover, illiquidity ratio, zero return measure, turnover-adjusted number of zero daily volume, stock return volatility, stock liquidity.Abstract
The focus of this study is to investigate the relationship between stocks’ trading characteristics (stock price, return volatility, and transaction volume) and stock liquidity. This study uses 5 liquidity proxies: relative bid-ask spread, stock turnover, illiquidity ratio, zero return measure, and turnover-adjusted number of zero daily volume. By using the correlation matrix, this study shows that there is a consistent relationship among the liquidity proxy. It means that liquid stock has high stock turnover, low relative bid-ask spread, low illiquidity ratio, low zero return measure, and low turnover-adjusted number of zero daily volume.
The analysis in this paper uses 108 sample of listed company in Indonesia Stock Exchange (IDX), which is carried out at the monthly level from January 2006 to the end of December 2010. The samples in this paper are allocated into three groups: small firms, medium firms, and large firms. The regression analysis is estimated to all sample, small firms’ sample, medium firms’ sample, and large firms’ sample.
The results indicate that the influence of stock transaction volume on liquidity is always consistent and significantly positive. However, some proxies do react differently to the stock price and return volatility. According to the results of this paper, the influence of stock price on liquidity is always significantly positive since the liquidity proxy is the illiquidity ratio, zero return measure, or turnover-adjusted number of zero daily volume. But, the influence of return volatility on liquidity is always significantly negative since the liquidity proxy is the relative bid-ask spread, or illiquidity ratio. This result also indicates that illiquidity ratio always reacts consistently to the stock price, return volatility, and transaction volume.
References
Amihud, Y., & Mendelson, H. (1986). Asset pricing and he bid–ask spread. Journal of Financial Economics, 17 (2), 223−249.
Chai, D., Faff, R., & Gharghori, P. (2010). New evidence on the relation between stock liquidity and measures of trading activity. International Review of Financial Analysis, 19, 181-192.
Chan, H. W., & Faff, R. W. (2003). An investigation into the role of liquidity in asset pricing: Australian evidence. Pacific-Basin Finance Journal, 11, 555-572.
Chang, Y. Y., Faff, R., & Hwang, C. (2010). Liquidity and stock returns in Japan: New evidence. Pacific-Basin Finance Journal, 18, 90–115.
Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56 (1), 3−28.
Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. Journal of Finance, 56 (2), 501-530.
Chung, D., & Hrazdil, K. (2010). Liquidity and market efficiency: A large sample study. Journal of Banking and Finance, 34, 2346–2357.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1, 203-219.
Demsetz, H. (1968). The costs of transacting. Quarterly Journal of Economics, 82 (1), 33−53.
Ekaputra, I. A. (2003). Studi tentang dinamika intrahari saham di Bursa Efek Jakarta. Disertasi, Pascasarjana Ilmu Manajemen, Fakultas Ekonomi, Universitas Indonesia.
Ekaputra, Irwan Adi. (2006). Determinan intraday bid-ask spread saham di Bursa Efek Jakarta. Manajemen dan Usahawan Indonesia, 5/XXXV, 8-12.
Ekaputra, I. A., & Basharat, A. (2007). The impact of tick size reduction on liquidity and order strategy: Evidence from JSX. Journal of Economics and Finance in Indonesia, 55/1, 89-104.
Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94, 150-169.
Huang, R. D., & Stoll, H. R. (1996). Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics, 41, 313-357.
Lehmann, B.N., & Modest, D.M. (1994). Trading and liquidity on the Tokyo Stock Exchange: A bird’s eye view. Journal of Finance, 49/3, 951-984.
Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12 (5), 1113−1141.
Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82 (3), 631−671.
Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111 (3), 642−685.
Rhee, G. S., & Wang, J. (2009). Foreign institutional ownership and stock market liquidity: Evidence from Indonesia. Journal of Banking and Finance, 33, 1312-1324.
Roll, R., & Subrahmanyam, A. (2010). Liquidity skewness. Journal of Banking and Finance, 34, 2562-2571.
Stoll, H. (1978). The pricing of security dealer services: An empirical study of NASDAQ stocks. Journal of Finance, 33 (4), 1153−1172.
Stoll, H. (2000). Friction. Journal of Finance, 55 (4), 1479−1514.
Tinic, S. (1972). The economics of liquidity services. Quarterly Journal of Economics, 86 (1), 79−93.
