VALUE AT RISK PORTOFOLIO DAN LIKUIDITAS SAHAM
ABSTRACT: This paper examines
the effects of liquidity on stock and portfolio risk measure by Value at Risk
(VaR). Using daily stock return and firm market capitalization, empirical
calculation confirmed that VaR not yet succeeded to prove pattern of relation
between risk and liquidity both in level stock individually and portfolio. This
study also clarified that portfolio stock diversivication yet achieve risk
reduce.
Keywords: Value at Risk,
Stock, Portfolio, Liquidity
Penulis: Rowland Bismark
Fernando Pasaribu
Kode Jurnal: jpmanajemendd100145
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