PENGARUH RETURN SAHAM, VOLUME PERDAGANGAN SAHAM DAN VARIAN RETURN SAHAM TERHADAP BID-ASK SPREAD SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERGABUNG DALAM INDEKS LQ 45 PERIODE TAHUN 2003-2005
Abstract: The
objective of this research is to test the impact of stock return, stock trading
volume and variance of stock return toward bid-ask spread. Using sampling of 20
manufacture companies which are united in LQ 45 index during the period of 2003
until 2005. The compilation of data is done in Jakarta Stock Exchange corner
UII, and Indonesian Capital Market Directory (ICMD). The analysis is done with
multiple linear regression method, regretted classical assumption examined, f-
test and t–test.
The
result shows that the hypothesis of stock return are rejected, in this result
shows that stock return have a positive significant impact toward bid-ask
spread while the hypothesis of stock trading volume and variance of stock
return are accepted, in this result shows that stock trading volume has a
negative significant impact toward bid-ask spread and variance of stock return
has a positive significant impact toward bid-ask spread. While as it
simultaneously show that stock return, stock trading volume, and variance of
stock return have significantly impact toward bid-ask spread and variance of
stock return have dominant impact.
Key words:
Bid-ask spread, multiple linear regression method, stock trading volume, stock
return, variance of stock return.
Penulis: Sri
Dwi Ari Ambarwti (Fakultas Ekonomi UPN “Veteran” Yogyakarta)
Kode
Jurnal: jpakuntansidd080001
