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"Penelitian ini membahas tentang pengaruh liquidity shock terhadap return saham yang terdaftar di Bursa Efek Indonesia pada tahun 2015-2019. Liquidity shock merupakan ukuran likuiditas yang belum banyak dieksplorasi dalam penelitian terkait asset pricing. Return saham yang diuji dalam penelitian ini adalah weekly excess return. Pengujian dilakukan dengan mengkontrol variabel ukuran perusahaan yang diproksikan dengan market capitalization, ukuran ilikuiditas berupa relative bid-ask spread, dan ukuran sensitivitas berupa beta. Analisis yang dilakukan adalah analisis univariat pada level portofolio termasuk signifikansi dan compare means menggunakan one-way ANOVA dan independent sample t-test, analisis regresi linear, serta analisis regresi logistik. Hasil analisis menunjukkan bahwa variabel liquidity shock berpengaruh negatif signifikan terhadap weekly excess return pada regresi linear dengan tingkat signifikansi 0,1 dan berpengaruh negatif signifikan terhadap peluang terjadi return positif pada regresi logistik dengan tingkat signifikansi 0,05. Pada analisis univariat dihasilkan pergerakan nonmonotonik seiring meningkatnya liquidity shock, dengan rata-rata return yang signifikan pada titik ekstrem di desil 1 dan desil 10.

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This research discusses the effect of liquidity shock on the return of listed stocks in the Indonesia Stock Exchange for the year 2015-2019. Liquidity shock is a largely unexplored area in asset pricing literature. Stock return used as variable in this research is weekly excess return. This research using company size proxied by market capitalization, illiquidity measure in form of relative bid-ask spread, and sensitivity

measure in form of stock beta as control variables. The tests conducted in this research are univariate portfolio analysis including significancy and compare means using one way ANOVA and independent sample t-test, linear regression, and logistic regression. The result of this research is that liquidity shock is having a negative effect on the stock return that significant on significance level 0.1 using linear regression an 0.05 using logistic regression. Univariate portfolio analysis resulted a non-monotonical movement concurrently with increase of liquidity shock with significance mean on extreme value at

decile 1 and decile 10."

"Penelitian ini meneliti hubungan antara likuiditas saham dengan proksi zero daily return dan kinerja perusahaan (Tobin’s Q) dengan variabel kontrol book value to assets, firm age, risiko idiosinkratik, dan volatilitas operating income. Penelitian ini menggunakan metode data panel yang seimbang dengan jumlah observasi sebanyak 75 firm-years observations. Untuk mengkontrol likuiditas endogen maka digunakan Two Stage Lest Square (2SLS) dan menggunakan langkahlangkah alternatif likuiditas. Hasil penelitian ini menunjukkan bahwa perusahaan dengan saham yang likuid memiliki kinerja yang lebih baik. Namun likuiditas tidak meningkatkan kinerja perusahaan secara signifikan di sekitar terjadinya desimalisasi. Selain itu, penelitian ini menemukan bahwa adanya pengaruh yang positif antara likuiditas dan kinerja perusahaan bukan dikarenakan likuiditas premium, sentimen investor, maupun feedback effect.

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This study examines the relationship between stock liquidity using daily zero returns as its proxy and firm performance (Tobin's Q) with book value of assets, firm age, idiosyncratic risk, and volatility of operating income as control variables. Moreover, this study uses balanced panel data methods by number of observations as much as 75 firm-years observations. In order to control the endogenous liquidity, this study uses Two Stage Least Square (2SLS) and alternative measures of liquidity.

Results of this study indicate that firms with liquid stocks have better performance although liquidity does not improve firm performance significantly around the decimalization. In addition, this study found that a positive influence between liquidity and firm performance is not due to liquidity premium, investor sentiment, and the feedback effect."

"Penelitian ini bertujuan untuk menguji pengaruh likuiditas saham terhadap mispricing saham di Indonesia. Likuiditas saham diukur dengan mengunakan tiga ukuran yaitu, amihud illiquidity, amihud risk dan share turnover. Pengujian dilakukan dengan menggunakan regresi berganda dan panel data dengan sampel sebanyak 92 perusahaan yang tercatat di bursa efek Indonesia selama periode 2004-2011. Hasil penelitian ini membuktikan bahwa ukuran (size) perusahaan berpengaruh negatif dan signifikan terhadap mispricing saham. Book to market ratio perusahaan berpengaruh negatif dan signifikan terhadap mispricing saham. Likuiditas saham dengan ukuran amihud illiquidity berpengaruh negatif dan signifikan terhadap mispricing saham. Likuiditas saham dengan ukuran amihud risk berpengaruh negatif dan signifikan terhadap mispricing saham. Namun Likuiditas saham dengan ukuran share turnover berpengaruh positif dan signifikan terhadap mispricing saham.

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The objective of this research is to analyze the effect of stock liquidity on stock mispricing at indonesia stock exchange. This Research uses multiple regression and panel data with 92 company listed at Indonesia Stock Exchange taken as a sample.

The result of this research shows that size and book to market ratio have negative effect and significantly influence stock mispricing. Stock Liquidity measured by amihud illiquidity shows that liquidity has negative effect and significantly influence stock mispricing.

Stock Liquidity measured by amihud risk also shows that liquidity has negative effect and significantly influence stock mispricing. However, Stock Liquidity measured by share turnover shows that liquidity has positive effect and significantly influence stock mispricing."

"Tesis ini membahas pengaruh likuiditas terhadap imbal hasil saham yang diperdagangkan di Bursa Efek Indonesia pada periode tahun 2004-2013 dengan menggunakan model Liquidity Adjusted CAPM. Dalam penelitian ini, dilakukan pengukuran likuiditas saham dengan metode illiquidity Amihud dan membuat portfolio saham berdasarkan nilai illiquidity. Selanjutnya dibuat hubungan antara expected return dengan liquidity risk dengan menggunakan model Liquidity Adjusted CAPM yang merupakan model CAPM yang ditambahkan beta liquidity. Hasil penelitian ini menunjukkan bahwa risiko pasar dan risiko likuiditas berpengaruh positif dan signifikan terhadap expected return portfolio saham di Bursa Efek Indonesia pada periode 2004-2013.

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This thesis explored the effect of liquidity on stock returns traded on the Indonesia Stock Exchange in the period 2004-2013 by using Adjusted Liquidity Model CAPM. In this study, stock liquidity measured by Amihud illiquidity method and create a portfolio of stocks based on their illiquidity value. Furthermore, we construct the relationship between expected return and the liquidity risk by using Liquidity Adjusted CAPM model that added liquidity beta to traditional CAPM model. The results of this study indicate that the market risk and liquidity risk have significant and positive effect to the expected return on the stock portfolio of the Indonesia Stock Exchange in the period 2004-2013."

"Tujuan penelitian ini adalah untuk mengetahui pengaruh IPO Underpricing terhadap likuiditas saham di Bursa Efek Indonesia selama periode 2006-2011. Penelitian ini menggunakan dua pendekatan untuk menghitung variabel terikat (likuiditas saham), yaitu volume perdagangan saham (VOL) dan volume uang dalam perdagangan saham (DVOL). Begitu juga dalam menghitung variabel bebas (underpricing), menggunakan dua pendekatan yaitu UNDO dan UNDC. Dalam menghitung UNDO, harga saham yang digunakan adalah harga pembukaan hari pertama listing. Sedangkan untuk perhitungan UNDC, harga saham yang digunakan adalah harga penutupan hari pertama listing.Pengujian hipotesis penelitian ini menggunakan model regresi linear berganda dengan data cross section. Sampel dalam penelitian ini sebanyak 75 perusahaan yang melakukan IPO selama periode 2006-2011. Penelitian ini juga menggunakan tiga variabel kontrol, yaitu jumlah lembar saham yang ditawarkan saat IPO, harga perdana saham, dan umur perusahaan.Hasil penelitian menunjukkan bahwa underpricing berpengaruh positif signifikan terhadap volume perdagangan saham (VOL) di Bursa Efek Indonesia. Sedangkan untuk likuiditas dengan pendekatan volume uang (DVOL), underpricing tidak berpengaruh signifikan. Hal ini sejalan dengan penelitian yang dilakukan Zhen dan Li (2007) yang menyatakan bahwa underpricing berpengaruh positif terhadap volume transaksi. Zhen dan Li tidak menemukan hubungan yang konsisten antara underpricing dengan ukuran likuiditas lainnya.

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The objective of this research is to examine the effect of IPO Underpricing on stock liquidity in the Indonesian Stock Exchange during the period 2006-2011. This study used two approaches to calculate the dependent variable (stock liquidity), which are trading volume and volume of money in stock trading. In calculating the independent variable (underpricing), this study also uses two approaches, they are UNDO and UNDC. In calculating an UNDO, the share price used is the opening price of the first day of listing. In UNDC calculating, stock price used is the closing price of the first day of listing.

The hypothesis testing of this study using a multiple linear regression model with cross section data. The samples in this study were 75 companies. This study also used three control variables: the number of shares offered, the initial price of the stock, and firm age.

The results showed that underpricing is positively significant to trading volume (VOL) at the Indonesian Stock Exchange. The research also found that underpricing has no significant relation to the volume of money (DVOL). This is consistent with research conducted Zhen and Li (2007) which states that the underpricing positively related to the volume of transactions. Zhen and Li did not find any consistent relation between underpricing and other liquidity measures."

"Penelitian ini bertujuan untuk menganalisis pengaruh bulan Ramadhan sebagai salah satu momentum keagamaan terhadap risiko, tingkat pengembalian, likuiditas, dan Indeks Harga Saham Gabungan IHSG di Bursa Efek Indonesia periode 2013-2017. Likuiditas dalam penelitian ini diukur dengan menggunakan Roll rsquo;s Measure, risiko dan tingkat pengembalian diukur menggunakan Generalized Autoregressive Conditional Heteroskedasticity GARCH , dan IHSG diukur menggunakan angka indeks sederhana atau simple agregative method berdasarkan perubahan harga setiap harinya. Hasil penelitian ini menunjukkan bahwa Ramadhan tidak memiliki pengaruh signifikan terhadap variabel-variabel penelitian di Bursa Efek Indonesia yang berarti bahwa bulan Ramadhan tidak berpengaruh terhadap pasar saham di Indonesia.

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This research aims to analyze the influence of Ramadan as one of religious momentum in terms of risk, rate of return, liquidity, and composite stock price index CSPI in Indonesia stock exchange in the period of 2013 2017. The liquidity in this study is measured with Roll rsquo s Measure, while the risk and rate of return are measured using Generalized Autoregressive Conditional Heteroskedasticity GARCH , and the CSPI is measured using simple index number or simple aggregative method based on the daily price change. The result of this research designates that Ramadan does not have any significant influence on the research variables in Indonesia Stock Exchange which indicates that Ramadan does not affect the stock market in Indonesia."

"Penelitian ini mengenai hubungan likuiditas dan return di pasar modal terus mengalami perkembangan sejak pertama kali dilakukan oleh Amihud dan Mendelson (1986) terutama dalam hal ukuran yang digunakan. Penelitian kali ini dilakukan untuk menguji persistensi ada tidaknyan premi likuiditas di Indonesia dengan mempelajari portofolio berdasarkan tiga ukuran likuiditas, yakni zeros, amihud dan FHT. Berdasarkan analisis yang dilakukan, peneliti menemukan bahwa permintaan premi likuiditas terjadi pada saat krisis finansial. Selain itu, peneliti juga menemukan bahwa investor dalam mengkoreksi keputusan investasi mereka setiap enam minggu.

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Research on the relationship of liquidity and return on capital markets has been developing since the first conducted by Amihud and Mendelson (1986), especially in terms of the measurement used. This study is conducted to examine the persistence liquidity premiums in Indonesia by studying a portfolio based on three measures of liquidity, zeros, Amihud, and FHT. Based on the analysis, found that the demand for liquidity premium exists on the financial crisis. In addition, it is also found that investorsadjust their investment decision in every six weeks."

"Penelitian sebelumnya telah menguji bagaimana pengaruh likuiditas saham terhadap nilai dari perusahaan, dan menghasilkan temuan yang berbeda-beda, serta dilengkapi dengan mekanisme yang berbeda pula. Akan tetapi masih minim penelitian yang menguji saham khusus, seperti saham syariah. Penelitian ini menguji bagaimana tingkat likuiditas saham dengan ukuran Amihud Iliquidity terhadap nilai perusahaan yang diukur dengan Tobin’s Q value, serta melihat ada tidaknya mekanisme feedback effect di dalam pengaruh tersebut. Pada penelitian ini digunakan metode data panel dengan sampel berupa saham syariah dalam periode 2011 sampai 2018. Hasil pada penelitian ini menunjukkan bahwa saham syariah secara keseluruhan yang tercatat di Indeks Saham Syariah Indonesia (ISSI) dimana tingkat likuiditas saham berpengaruh positif pada nilai perusahaan melalui mekanisme feedback effect. Kemudian, dilakukan analisa lanjutan menggunakan sampel saham-saham syariah paling likuid yang tercatat pada Jakarta Islamic Index (JII) yang juga menunjukkan pengaruh positif likuiditas saham terhadap nilai perusahaan, dan menemukan adanya mekanisme feedback effect dalam interaksi tersebut. Hal ini berarti semakin likuid suatu saham semakin tinggi nilainya, serta pengaruh positif likuiditas saham terhadap nilai perusahaan diperbesar pada saham likuid dengan ketidakpastian bisnis yang tinggi.

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Previous studies have examined about the effect of stock liquidity on the value of the company, and produce various findings, and equipped with different mechanisms. However, there is still few research that testing Islamic stocks. This study examines how the stock liquidity with Amihud Illiquidity measurement to the company's value as measured by Tobin's Q value, and see whether there is a feedback effect in those relationship. In this study, panel data method is used with a sample of islamic stock in the period 2011 to 2018. The results of this study indicate that Islamic stocks as a whole are listed on the Indonesian Sharia Stock Index (ISSI) where the level of stock liquidity has a positive effect on company value through a feedback effect mechanism. Further analysis was carried out using a sample of the most liquid Islamic stocks listed on the Jakarta Islamic Index (JII) which also showed the positive effect of stock liquidity on company value, and found a feedback effect mechanism in this interaction. It means, liquid stocks has a higher value, and positive stock liquidity effect on firm value is magnified for liquid stock with high business uncertainty."

"[Tesis ini membahas mengenai analisis pengaruh kepemilikan saham investor asing di masa lalu, likuiditas, ukuran perusahaan, imbal hasil indeks harga sektoral dan rasio nilai buku dengan nilai pasar terhadap Kepemilikan Saham Investor Asing pada Perusahaan Sektor Transportasi yang Terdaftar di Bursa Efek Indonesia. Berdasarkan data volume perdagangan dan harga saham sektor transportasi, pergerakan grafik atas kedua hal tersebut cenderung stagnan, sehingga peneliti berasumsi bahwa saham-saham di sektor transportasi kurang likuid sehingga investor asing tidak memiliki kesempatan untuk melepaskan kepemilikannya untuk menghindati kerugian investasi. Hasil dari penelitian ini adalah bahwa variabel kepemilikan saham investor asing di masa lalu memiliki hubungan positif dan signifikan terhadap kepemilikan saham investor asing, Return Indeks Harga Sektoral Transportasi dan Likuiditas yang diukur dengan Current Ratio memiliki hubungan negatif dan signifikan terhadap kepemilikan saham investor asing. Size yang diukur dengan volume perdagangan saham memiliki hubungan negatif tetapi tidak signifikan terhadap kepemilikan saham investor asing sedangkan Book to Market Ratio memiliki hubungan positif tetapi tidak signifikan terhadap kepemilikan saham investor asing.

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This thesis discusses previous foreign investor?s ownership, liquidity, size, sectorial price index return and book to market ratio have influence to foreign investor ownership. Based on data from the trading volume and share price the transport sector, the graphic movement on both side tend to stagnate, so researcher assumes that stocks are not liquid in the transport sector so that foreign investors do not have the opportunity to divest their holdings to avoid investment losses. Results from this study are that the foreign investor previous ownership has positive relationship and significant to foreign investor ownership, Sectorial Price Index Return and Liquidity have negative relationship and significant to foreign investor ownership. Size which measure by trading volume has negative relationship but insignificant to foreign investor ownership and book to market ratio has positive relationship but insignificant to foreign investor ownership, This thesis discusses previous foreign investor’s ownership, liquidity, size, sectorial

price index return and book to market ratio have influence to foreign investor

ownership. Based on data from the trading volume and share price the transport

sector, the graphic movement on both side tend to stagnate, so researcher assumes

that stocks are not liquid in the transport sector so that foreign investors do not have

the opportunity to divest their holdings to avoid investment losses. Results from this

study are that the foreign investor previous ownership has positive relationship and

significant to foreign investor ownership, Sectorial Price Index Return and Liquidity

have negative relationship and significant to foreign investor ownership. Size which

measure by trading volume has negative relationship but insignificant to foreign

investor ownership and book to market ratio has positive relationship but

insignificant to foreign investor ownership]"

"[Tujuan dari penelitian ini adalah menganalisis Pengaruh Faktor InternalPerusahaan Terhadap Likuiditas Saham Pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia Periode 2010-2014, dengan menggunakan model data cross section dan time series.Hasil estimasi dari penelitian ini adalah terdapat beberapa faktor internal perusahaan yang memiliki pengaruh signifikan terhadap likuiditas saham, diantaranya adalah Size, TATO, Receivable Turnover dan Profit Margin Perusahaan.;This study attempts to analyze influence of companies internal factor on stock liquidity in Indonesia stock market. Sample that used is manufactured company listed in Indonesian Stock Exchange from 2010-2014 in terms of annual stock returns. Using several measures to proxy for the internal factors companies. The result indicates that some internal factor companies had a significant influence of stock liquidity during our testing period., This study attempts to analyze influence of companies internal factor on stock liquidity in Indonesia stock market. Sample that used is manufactured company listed in Indonesian Stock Exchange from 2010-2014 in terms of annual stock returns. Using several measures to proxy for the internal factors companies. The result indicates that some internal factor companies had a significant influence of stock liquidity during our testing period.]"