PENGARUH VOLATILITAS HARGA SAHAM, FREKUENSI PERDAGANGAN DAN RETURN SAHAM TERHADAP BID-ASK SPREAD PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS LQ45 PERIODE 2019 – 2022
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Mohamad Husni(1*)
Program Studi Akuntansi Universitas Bina Bangsa, Serang
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Muhammad Angga Anggriawan(2)
Program Studi Akuntansi Universitas Bina Bangsa, Serang
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Nur Wahyuni(3)
Program Studi Akuntansi Universitas Bina Bangsa, Serang
(*) Corresponding Author
Keywords:
Stock Price Volatility, Trading Frequency, Stock Return, Bid-ask spread
Abstract
The objective of this study is to determine the impact of variable volatility of stock price, trading frequency, and share returns on bid-ask spreads either partially or simultaneously for LQ45 index member companies. The quantitative method is the method used in the study, the population in this study was 45 companies listed in the LK45 index, whereas, for the sample this study used 8 companies with the observation period 2019-2022, the findings in this research had a negative and significant effect on the price-ask variable bid spread, while for Frequency Trading and Share Return Variables did not affect the bid-ash spread it was marked by the reevaluation value of trading currency and stock return variability, while to test jointly on the entire variable value of the price of stocks, frequencies, and trade per share significantly affected the return of stocks in terms of the value of bid-assets being divided. This study concludes that by understanding the impact of stock price volatility and trading frequency, investors can develop better strategies to manage risk and maximize profits.
Keywords: Stock Price Volatility; Trading Frequency; Stock Return; Bid-ask spread
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References
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https://doi.org/10.46729/ijstm.v2i5.361
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https://doi.org/10.20473/vol10iss20231pp69-81
Ardiansyah, N. H. (2022). Financial Development, Growth Economic, Stock Price Volatility Perusahaan Energi Dalam Gejolak Pandemi. Ekonomi Dan Bisnis, 9(1), 13–28. Https://Doi.Org/10.35590/Jeb.V9i1.4142
Artikanaya, I. K. R., & Gayatri, G. (2020). Pengaruh Asset Growth, Leverage, dan Dividend Payout Ratio pada Volatilitas Harga Saham. E-Jurnal Akuntansi, 30(5), 1270. https://doi.org/10.24843/EJA.2020.v30.i05.p16
Avisha, V. Y., Dewi, R. R., & Masitoh, E. (2020). Pengaruh Kinerja Keuangan Terhadap Return Saham Pada Perusahaan Manufaktur. Jurnal Ilmiah Manajemen Ubhara, 2(2), 95. Https://Doi.Org/10.31599/Jmu.V2i2.763
Brigham, E. F., & Houston, J. F. (2021). Fundamentals of Financial Management. Cengage Learning. https://books.google.co.id/books?id=9uUXEAAAQBAJ
Dharma, B., Cici, W.A., & Amanda, D.N. (2022). Mengapa PBV ( Price Book Value ) Penting Dalam Penilaian Saham (Perusahaan Farmasi Yang Terdaftar di BEI periode 2021). Jurnal Manajemen Dan Ekonomi Kreatif, 1(1), 80–89. https://doi.org/10.59024/jumek.v1i1.32
Eraker, B., & Osterrieder, D. (2023). Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures*. Journal of Financial Econometrics, 21(5), 1820–1851. https://doi.org/10.1093/jjfinec/nbac025
Flammer, C., Giroux, T., & Heal, G. M. (2023). Biodiversity Finance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4379451
Hagströmer, B. (2021). Bias in the effective bid-ask spread. Journal of Financial Economics, 142(1), 314–337. https://doi.org/10.1016/j.jfineco.2021.04.018
Instrumen pasar modal (saham, obligasi, derivatif)—SahamU. (n.d.).
https://www.sahamu.com/instrumen-pasar-modal/
Januardin, Siti, W., Indra, S., Indah, A. M., & Muammar, A. (2020). Pengaruh DER, NPM, dan PER terhadap Return Saham pada Perusahaan Sektor Property And Real Estate di Bursa Efek Indonesia. Owner, 4(2), 423–432.
https://doi.org/10.33395/owner.v4i2.251
Jogiyanto, H. (2013). Portfolio theory and investment analysis. In Yogyakarta: BPFE.
Mahendra, A. M., Djatmika, E. T., & Hermawan, A. (2017). The Effect of Entrepreneurship Education on Entrepreneurial Intention Mediated by Motivation and Attitude among Management Students, State University of Malang, Indonesia. International Education Studies, 10(9), 61. https://doi.org/10.5539/ies.v10n9p61
Mulyanti, K., & Puspitasari, E. N. (2022). Pengaruh Return On Asset (Roa) Dan Debt To Equity Ratio (Der) Terhadap Return Saham Pada Perusahaan Manufaktur Sub Sektor Makanan Dan Minuman Yang Terdaftar Di Busa Efek Indoneisa (Bei) Periode 2015- 2019. Land Journal, 3(2).
Https://Doi.Org/10.47491/Landjournal.V3i2.2305
Niawaradila, B., Wiyono, G., & Maulida, A. (2021). Pengaruh Frekuensi Perdagangan, Volume Perdagangan, Dan Kapitalisasi Pasar Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bei Periode 2016-2019. Ecobisma (Jurnal Ekonomi, Bisnis Dan Manajemen), 8(1), 122–138.
Https://Doi.Org/10.36987/Ecobi.V8i1.2078
Rosdaniah, R., & Azizs, A. (2022). Peluang dan Tantangan Pasar Modal Syariah. Mubeza, 11(2), 1–6. https://doi.org/10.54604/mbz.v11i2.59
Sidanti, et al. (2021). The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020. International Journal of Science, Technology & Management, Vol. 2 No. 4 (2021): July 2021, 1357–1366.
Solihin, A, Afrizal, & Lilik Sulistyowati. (2021). The Effect Of Price Earning Ratio, Current Ratio, Net Profit Margin And Debt To Equity Ratio On Stock Prices Of The Lq-45 Index Of The Indonesia Stock Exchange 2016-2018. International Journal of Science, Technology & Management, 2(5), 1441–1448.
https://doi.org/10.46729/ijstm.v2i5.361
Sugiyono. (2008). Metode penelitian pendidikan: (Pendekatan kuantitatif, kualitatif dan R & D) (Cet. 6). Alfabeta.
Tampubolon, D. W., Gultom, E., & Sudaryat, S. (2022). Perlindungan Hukum Investor Trading Saham Online Ditinjau Dari Undang-Undang Nomor 8 Tahun 1995 Tentang Pasar Modal. Jurnal Mercatoria, 15(1), 52–59.
https://doi.org/10.31289/mercatoria.v15i1.6865
Utami, F. A., Sadalia, I., & Muda, I. (2020). Determinant of Bid-Ask Spread Share on LQ45 Index Emitents in Indonesia. In International Journal of Research and …. academia.edu. https://www.academia.edu/download/63806784/IJRR001920200702-79921-1w9neo0.pdf
Published
2024-07-03
How to Cite
Husni, M., Anggriawan, M., & Wahyuni, N. (2024). PENGARUH VOLATILITAS HARGA SAHAM, FREKUENSI PERDAGANGAN DAN RETURN SAHAM TERHADAP BID-ASK SPREAD PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS LQ45 PERIODE 2019 – 2022. Journal of Management : Small and Medium Enterprises (SMEs), 17(2), 341-354. https://doi.org/10.35508/jom.v17i2.14484
Section
Articles
