Pengaruh Amihud, Bid-Ask Spread, Case Covid-19, Marcap, dan MTB terhadap Return Saham pada Perusahaan Financial yang Terdaftar di BEI Selama Covid 2019 (Periode Maret 2020 – Maret 2022)
Abstract
This research is an event study that aims to examine the stock returns and liquidity of financial companies during Indonesia's first Covid-19 case. Researchers use monthly closing price data to calculate stock returns and data related to company liquidity. The sample in this study were go public companies listed on the Indonesia Stock Exchange for the period March 2020 - March 2022. With these criteria, the samples used in this study were 26 companies. Research sampling technique using purposive sampling method. The analytical tools used in this research are descriptive statistical analysis, classical assumption test, multiple linear regression analysis and hypothesis testing. Based on the results of data analysis it can be interpreted: Amihud, Marcap, MTB have an effect on stock returns; Bid-ask spread, Covid-19 case has no effect on stock returns; Amihud, Bid-Ask Spread, Case Covid-19, Marcap and MTB have a simultaneous effect on stock returns. Keywords: Amihud, Bid-Ask Spread, Case Covid-19, Marcap, MTB, Return SahamReferences
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Brennan, M. J., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441-464.
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Roll, richard. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127–1139.
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Sugiyono. (2011). Metode Penelitian Kuantitatif Kualitatif Dan R&D. Bandung: Penerbit Alfabeta.
Wibowo, Agung dan Susetyo, D. (2019). Impact of Quick Count Result of President Election on Stock Prices and Trade Activities in the Indonesian Capital Market. Saudi Journal of Business and Management Studies4(6):487-493.
Wibowo, A. R., & Hendratno. (2019). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham dan Kapitalisasi Pasar terhadap Return Saham Perusahaan yang Berada pada Indeks LQ45 Di Bursa Efek Indonesia (BEI) Periode 2013-2017. E-Proceeding of Management, 6(1), 336–340.
Widhyawati, I. G. A. M., & Damayanthi, I. G. A. E. (2015). Pengaruh Trading Volume, Market Value, Dan Return Variance Pada Bid-Ask Spread. E-Jurnal Akuntansi Universitas Udayana, 10(3), 763–777.
Yeni, F., Putri, R. M., Elfiswandi, E., & Lusiana, L. (2021). ANALISIS BID ASK SPREAD PADA MASA SESUDAH RIGHT ISSUE DITINJAU DARI HARGA SAHAM, VOLUME PERDAGANGAN DAN. Jurnal Ilmu Manajemen Terapan, 2(6), 849–858.
https://www.worldometers.info/coronavirus/country/indonesia/#graph-cases-daily
http://idx.co.id
Amihud, Y. & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics. 17 (2): 223-24.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects$. Journal of Financial Markets, Vol.5, 31–56.
Ang, R. (1997). Buku Pintar Pasar Modal Indonesia Edisi I. Media Soft. Indonesia.
Anh, Dao Le Trang & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies. ahead-of-print. 10.1108/JES-06-2020-0312
Arista, D. dan A. (2012). Analisis Faktor–Faktor Yang Mempengaruhi Return Saham. Jurnal Ilmu Manajemen Dan Akuntansi Terapan (JIMAT)3(1).
Brennan, M. J., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441-464.
Chung, K.H. and Zhang, H. (2014). A simple approximation of intraday spreads using daily data. Journal of Financial Markets, Vol 17, 94–120.
Darmayanti, N. (2020). DAMPAK COVID-19 TERHADAP PERUBAHAN HARGA DAN RETURN SAHAM. Jurnal Ekonomi Dan Keuangan Akreditasi No. 32a/E/KPT/2017. https://doi.org/https://doi.org/10.24034/j25485024.y2020.v4.i4.4624
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
Dewi, A. N. A., & Kartika, I. (2015). Faktor - Faktor Yang Mempengaruhi Bid - Ask Spread Pada Perusahaan Manufaktur. Jurnal Akuntansi Indonesia, 4(2), 83–96.
Djarwanto. (1994). Pokok-pokok Metode Riset dan Bimbingan Teknis Penulisan Skripsi. Yogyakarta : Liberty.
Gao, Y., Zhao, W. and Wang, M. (2020). The comparison study of liquidity measurements on the Chinese stock markets. Emerging Markets Finance and Trade, 1–29. https://doi.org/10.1080/1540496X.2019.1709819
Ghozali, I. (2013). Aplikasi Analisis Multivariate dengan Program IBM Spss 21 Update PLS Regresi. Ed. 7. Semarang : Badan Penerbit Unviversitas Diponegoro.
Gitman, L. J. (2010). Fundamental of Investing (11th ed.). Boston: Addison Wesley.
Guler, A. dan M. K. Y. (2008). Price Earnings Ratio, Dividend Yield and Market to book ratio to predict Return on Stock Market: Evidence from The Emerging Markets. Journal of Global Bussines an Technology, 4 (1), Hlm. 18-30.
Harahap, S. S. (2002). Analisis Kritis Atas Laporan Keuangan. Jakarta: PT. Raja Grafindo Persada.
Jogiyanto, H. (2010). Teori portofolio dan analisis investasi (edisi ketujuh). BPFE. Yogyakarta.
Li, W.-X. (2008). Two essays on liquidity essay I: Information related trading on two nearly identical options essay II: The importance of the liquidity premium in the presence of declining transactions cost. University of New Orleans Theses and Dissertations. Paper 893.
Liedgren, G. J. O. dan S. Z. (2008). Spin-off performance – Does the subsidiary perform better on its own?. [Tesis]. Swedia: Jonkoping International Business School.
Manurung, A. H. dan L. T. R. (2009). Succesfull Financial Planner. PT.Grasindo. Jakarta.
Mdaghri, A.A., Raghibi, A., Thanh, C.N. and Oubdi, L. (2021). Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries. Review of Behavioral Finance, Vol. 13 No, 51–68.
Najmiyah, D. (2014). Pengaruh Price to Book Value (PBV), Price Earning Ratio (PER) Dan Debt to Equity Ratio (DER) Terhadap Return Saham Pada Industri Real Estate Dan Property Yang Terdaftar Di Bursa Efek Indonesia Periode 2009 – 2013. E-Journal S1 Ak Universitas Pendidikan Ganesha Jurusan Akuntansi Program S1 (Volume: 2 No. 1 Tahun 2014).
Nguyen, C. T., Hai, P. T., & Nguyen, H. K. (2021). Stock market returns and liquidity during the COVID-19 outbreak : evidence from the financial services sector in Vietnam. 5(3), 324–342. https://doi.org/10.1108/AJEB-06-2021-0070
Nisa, A. K., & Rikumahu, B. (2018). Pengaruh Bid-Ask Spread Terhadap Return S Aham Pada Indeks Saham Lq 45 Yang Tercatat Di Bursa Efek Indonesia ( Bei ) Periode the Effect of Bid-Ask Spread on Stock Return on Lq 45 Stock Index Listed in Indonesia Stock Exchange ( Idx ) Period 2012-2016. EProceedings of Management, 5(1), 253–259.
Nurcahyono, Nurcahyono, Ayu Noviani Hanum, and F. S. (2021). The Covid-19 Outbreak and Its Impacton Stock Market Return: Evidence from Indonesia. Jurnal Dinamika Akuntansi Dan Bisnis, 8(1), 47–58. https://doi.org/10.24815/jdab.v8i1.18934
Nurmasari, I. (2020). Dampak Covid - 19 Terhadap Perubahan Harga Saham dan Volume Transaksi. Jurnal Sekutiras (Saham, Ekonomi, Keuangan Dan Investasi) Vol. 3, No. 3. http://openjournal.unpam.ac.id/index.php/SKT/article/view/5022/3635
Octavera, sari dan Rahadi, F. (2021). Reaksi Pasar Modal di Asia Tenggara Terhadap Pandemi Covid-19. Jurnal Ekonomi Dan Bisnis Dharma Andalas Volume 23 No 1. https://www.jurnal.unidha.ac.id/index.php/JEBD/article/download/209/139
Roll, richard. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127–1139.
Sugianto, D. (2020). Perjalanan IHSG Sejak RI Positif Virus Corona. Finance.Detik.Com. https://finance.detik.com/bursa-dan-valas/d-%0A4972595/perjalanan-ihsg-sejak-ri-positif-virus-%0Acorona
Sugiyono. (2011). Metode Penelitian Kuantitatif Kualitatif Dan R&D. Bandung: Penerbit Alfabeta.
Wibowo, Agung dan Susetyo, D. (2019). Impact of Quick Count Result of President Election on Stock Prices and Trade Activities in the Indonesian Capital Market. Saudi Journal of Business and Management Studies4(6):487-493.
Wibowo, A. R., & Hendratno. (2019). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham dan Kapitalisasi Pasar terhadap Return Saham Perusahaan yang Berada pada Indeks LQ45 Di Bursa Efek Indonesia (BEI) Periode 2013-2017. E-Proceeding of Management, 6(1), 336–340.
Widhyawati, I. G. A. M., & Damayanthi, I. G. A. E. (2015). Pengaruh Trading Volume, Market Value, Dan Return Variance Pada Bid-Ask Spread. E-Jurnal Akuntansi Universitas Udayana, 10(3), 763–777.
Yeni, F., Putri, R. M., Elfiswandi, E., & Lusiana, L. (2021). ANALISIS BID ASK SPREAD PADA MASA SESUDAH RIGHT ISSUE DITINJAU DARI HARGA SAHAM, VOLUME PERDAGANGAN DAN. Jurnal Ilmu Manajemen Terapan, 2(6), 849–858.
https://www.worldometers.info/coronavirus/country/indonesia/#graph-cases-daily
http://idx.co.id
Published
2023-03-09
Section
Articles
