PERAN LIKUIDITAS DALAM ASSET PRICING DI BURSA EFEK INDONESIA
Purpose of this study is to obtain empirical evidence about the role of liquidity in asset pricing in the Indonesian stock market. This study compares the role of liquidity as a characteristic of stocks and liquidity as a source of systematic risk. This study uses a total of 280 sample companies listed on the Indonesia Stock Exchange during the period 2006 - 2016. In measuring liquidity, this study uses the proportion of zero returns and because liquidity predicts future returns and also moves according to the past. For this reason it is necessary to have innovations to avoid stationarity issues because of the high persistence in liquidity so we use ARMA structure in the portfolio as data analysis method. Data processing was performed using the Fama-Macbeth (1973) model. The results of this study prove that market liquidity has a negative influence on stock returns on the Indonesian market. Thus, the role of liquidity as a systematic risk has an effect on asset pricing on the Indonesian stock market.
Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of financial Economics, 77(2), 375-410.
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of financial Economics, 17(2), 223-249.
Amihud, Y., & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 43-48.
Amihud, Y., & Mendelson, H. (1991). Liquidity, asset prices and financial policy. Financial Analysts Journal, 56-66.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005). Liquidity and asset prices. Foundations and Trends® in Finance, 1(4), 269-364.
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.
Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of financial economics, 56(1), 3-28.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
Demsetz, H. (1968). The cost of transacting. The Quarterly Journal of Economics, 82(1), 33-53.
Diamond, D. W., & Rajan, R. G. (2001). Liquidity risk, liquidity creation, and financial fragility: A theory of banking. Journal of political Economy, 109(2), 287-327.
Eleswarapu, V. R., & Reinganum, M. R. (1993). The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34(3), 373-386.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
Foucault, T., Pagano, M., Roell, A., & Röell, A. (2013). Market liquidity: theory, evidence, and policy. Oxford University Press.
Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. The Review of Financial Studies, 12(5), 1113-1141.
Marcelo, J. L. M., & Quirós, M. D. M. M. (2006). The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market. The Quarterly Review of Economics and Finance, 46(2), 254-267.
Miralles-Quirós, M. D. M., Miralles-Quirós, J. L., & Oliveira, C. (2017). The role of liquidity in asset pricing: the special case of the Portuguese Stock Market. Journal of Economics, Finance and Administrative Science, 22(43), 191-206.
Vo, X. V., & Bui, H. T. (2016). Liquidity, liquidity risk and stock returns: evidence from Vietnam. International Journal of Monetary Economics and Finance, 9(1), 67-89.
Copyright (c) 2021 Catherine Dwiputri, Vina Christina Nugroho
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.