ANALISIS PENGARUH BID-ASK SPREAD, TURNOVER, VOLATILITAS TERHADAP DISPOSITION EFFECT PADA PASAR MODAL INDONESIA (Studi Kasus pada Saham LQ45 Periode Januari 2010 – Juni 2015)
ABSTRACT: Disposition
effect is the tendency of investor to sell their winning investment too soon
and hold losing investment too long. Identifying the causes of disposition
effect is important to determine whether the disposition effect make the market
inefficient. This study aims to analyze the effect of bid-ask spread, turnover,
volatility, market return, firm size, and book to market ratio of the
disposition effect. The population in this study is a company listed in Indeks
LQ45 the Indonesia Stock Exchange during January 2010 – June 2015. Total of
samples to be taken is 44 companies. The analytical method used is multiple
linier regression. The research model used in this study had escaped from four
test, test normality assumption, namely classic multikolinearitas,
autokorelasi, and heteroskedastisitas. All independent variable that exist in
the test in the dependent variable to simultan. Independent variable in this
research describes a number of 20,7% of the dependent variable explained by 79,3%
while the other factors. The results of this study showed that the bid-ask
spread, volatility, market return, firm size significantly effect on
disposition effect. Whereas turnover and book to market have no significant effect
on disposition effect.
Keywords:
disposition effect, bid-ask spread, turnover, volatility
Penulis: Vijai
Sembiring, Erman Denny Arfianto
