The Influence Of Idiosyncratic Volatility, Market Risk, And Size On Stock Return Of A Non-Financial Company Registered In Indonesia Stock Exchange In The Period Of 2012 - 2016

Darmawan, Jesslyn Fransisca and Murhadi, Werner Ria and Mahadwartha, Putu Anom (2017) The Influence Of Idiosyncratic Volatility, Market Risk, And Size On Stock Return Of A Non-Financial Company Registered In Indonesia Stock Exchange In The Period Of 2012 - 2016. Manajemen dan Bisnis (MABIS), 16 (1). pp. 12-18. ISSN 1412-3789; e-ISSN 2477-1783

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Abstract

The objective of this research is to examine the effect of idiosyncratic volatility, market risk, and size, as the independent variable on stock return on non-financial firm (eight sectoral) listed on Indonesia Stock Exchange. This research uses quantitative perspective with linier regression and model in a panel data for all of the research’s observation used in this research. The number of observation in this research is 1440, consisting of 288 firms that have been enlisted on Indonesia Stock Exchange during 2012-2016 period. The result shows that idiosyncratic volatility has a negative significant effect on stock return. Market risk and size appear to have no significant effect on stock return. Tujuan dari penelitian ini adalah menguji pengaruh idiosyncratic volatility, market risk, dan size, sebagai variabel independen terhadap return saham pada perusahaan non-keuangan (delapan sektoral) yang ada di Bursa Efek Indonesia. Penelitian ini menggunakan perspektif kuantitatif dengan regresi linier dan model dalam data panel untuk semua pengamatan penelitian yang digunakan dalam penelitian ini. Jumlah observasi dalam penelitian ini adalah 1440, terdiri dari 288 perusahaan yang telah terdaftar di Bursa Efek Indonesia periode 2012- 2016. Hasil penelitian menunjukkan bahwa idiosyncratic volatility berpengaruh negatif signifikan terhadap return saham. Market risk dan Size tidak berpengaruh signifikan terhadap return saham.

Item Type:	Article
Uncontrolled Keywords:	stock return; idiosyncratic volatility; market risk; size
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	31 Oct 2022 04:48
Last Modified:	31 Oct 2022 04:48
URI:	http://repository.ubaya.ac.id/id/eprint/42816

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