PENERAPAN PRICE LIMIT UNTUK MENGATASI VOLATILITAS RETURN SAHAM
Abstract: Some stock markets
have employed a number of circuit breakers to avoid non-rational overreaction
and price limit is one of them. While price limit is widely accepted benchmarks
for the prevention of market crash, the question of weather price limit reduces
stock price volatility has long attracted research interest. The purpose of
this study is to test volatility spillover hypothesis by examining Indonesia
Stock Exchange price limit system. We use LQ-45 stocks data from August
2001-January 2002, while research period begins from 3 December 2001- 31
December 2006. The evidence supports that all hypotheses suggesting that price
limit may be effective to reduce volatility.
Penulis: Maria Rio Rita,
Rendhy Bramantha Wisudana
Kode Jurnal: jpakuntansidd1000228
