Analisis Idiosyncratic Risk, Return dan Liquidity Saham Perbankan di Indonesia Dengan Pendekatan Spillover:

Analysis of Idiosyncratic Risk, Return and Liquidity of Banking Stock In Indonesia Using The Spillover Approach

Abstract

Penelitian ini bertujuan untuk mengetahui spillover yang terjadi antara variabel struktur mikro pasar yang saling berhubungan yaitu Idiosyncratic Risk, Return dan Liquidity  saham perbankan di Indonesia periode 2007-2017. Metode analisis yang digunakan adalah Kausalitas Granger dalam menjelaskan hubungan variabel struktur mikro pasar berdasarkan kapitalisasi pasar saham di Indonesia. Hasil penelitian menunjukkan terdapat spillover satu arah antara Idiosyncratic Risk dengan Return serta Idiosyncratic Risk dengan Liquidity baik pada saham besar maupun saham kecil pada saham perbankan di Indonesia. Namun tidak terdapat spillover antara Return dengan Liquidity baik pada saham besar maupun saham kecil pada saham perbankan di Indonesia. Pada hubungan lintas portofolio berbasis ukuran saham terdapat spillover dua arah antara Return saham besar dengan saham kecil dan spillover satu arah antara Liquidity saham besar dengan saham kecil pada saham perbankan di Indonesia. Namun tidak terdapat spillover antara Idiosyncratic Risk saham besar dengan saham kecil pada saham perbankan di Indonesia.

This study aims to determine the spillover that occurs between interrelated market microstructure variables, namely Idiosyncratic Risk, Return and Liquidity of banking stocks in Indonesia for the 2007-2017 period. The analytical method used is Granger Causality in explaining the relationship between market microstructure variables based on stock market capitalization in Indonesia. The results of the study show that there is a one-way spillover between Idiosyncratic Risk and Return and Idiosyncratic Risk with Liquidity in both large and small stocks in banking stocks in Indonesia. However, there is no spillover between Return and Liquidity for both large and small shares in Indonesian banking stocks. In the cross-portfolio relationship based on share size, there is a two-way spillover between large stock returns and small stock returns and one-way spillover between large stock Liquidity and small stocks in banking stocks in Indonesia. However, there is no spillover between Idiosyncratic Risk of large shares and small shares in banking stocks in Indonesia.