Pengaruh Transaction Cost, Market Value dan Variance of Stock Return terhadap Holding Period pada Saham-Saham di Bursa Efek Jakarta Periode 2000-2001

., Alfon and Ernawati, Endang (2005) Pengaruh Transaction Cost, Market Value dan Variance of Stock Return terhadap Holding Period pada Saham-Saham di Bursa Efek Jakarta Periode 2000-2001. In: Proceeding The 4th UBAYA International Annual Symposium on Management Financial Strategies and Policies: Challenge of Tomorrow, 15 March 2007, Fakultas Ekonomi Universitas Surabaya.

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Abstract

This is a replication of the research done Atkins and Dyl (1997). who investigated the effect of transaction cost represented by bid-ask spread, market value, and variance of stock return on the holding period. Their research was done on the basis of the proposition presented by Amihud and Mendelson (1986) and Constantinides (1986) stating that in equilibrium, a higher bid-ask spread results in the underlying security being owned by investors who expect to hold the security for a longer time, and vice versa. There are two additional propositions added by Atkins and Dyl, the first of which stated that the higher the market value, the longer the holding period will be, and vice versa. Whereas the second proposition stated that the higher the variance of stock return the shorter the holding period will be, and vice versa. Atkins and Dyl tested the three propositions and they are proved to work on the stocks in National Association of Securities Dealer Automated Quotation (NASDAQ) and in the New York Stock Exchange (NYSE) applying the hybrid quote-driven system. The object of this research is the firms listed in the Jakarta Stock Exchange (JSX) that apply the order-driven system. Regression method that is used in this research is two- stage least squares regression. The end result of the hypothesis testing, both simultaneous and partial indicates transaction cost, market value, and variance of stock return have a significant influence on the holding period of the stocks in Jakarta stock Exchange, both for the period of 2000 and 2001 as well. The result of this research is consistent with that of Atkins and Dyl.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Transaction Cost, Bid-Ask Spread, Market Value, Variance of Stock Return, Holding Period.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Business and Economic > Department of Management
Depositing User: Eko Setiawan 194014
Date Deposited: 11 Apr 2012 01:56
Last Modified: 11 Apr 2012 01:56
URI: http://repository.ubaya.ac.id/id/eprint/317

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