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RETURN SAHAM, VALUE AT RISK DAN AKTIVITAS TRADING PADA KELOMPOK HARGA TERENDAH (LOW TICK SIZE) DI BURSA EFEK INDONESIA

PERDANA WAHYU SANTOSA
Fakultas Ekonomi Universitas YARSI
perdana.ws@gmail.com

HARRY YUSUF A. LAKSANA
Kementrian Keuangan Republik Indonesia
harry.yusuf@gmail.com

[Jurnal Akuntansi (SNA 13) – Akuntansi Keuangan dan Pasar Modal]

Abstract

The purpose of this research is to analyze the impact of value at risk, market risk, stock price, liquidity and price-to-book value ratio to the stock return in low tick size (Rp 5 and Rp 10) at Bursa Efek Indonesia (BEI).

This research focuess in (1) the relationship between return, VaR and market risk (2) the relationship between return, Size and liquidity and (3) analysis the relationship between return and PBV. We employ panel data analysis methodology which combines time series and cross section data in quarterly period in 2004-2006. We get data from active stocks of various companies of low price level in LQ-45 for period 2004-2005. The results of this research are VaR, beta, size, liquidity have positive impact significantly to the stock returns except PBV.

These findings indicated that fundamental performance not relevan with trading activity at lower price. These results support the previous researches which are done by many scholars, and give opportunities to VaR build alternative models for Capital Asset Pricing Model (CAPM).

Keywords: Value-at-Risk, return, low tick size, asset prcing, market risk, size, liquidity, price-to-book value.

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Channeled investment funds which had been in stock mutual funds (equity) only ranks the lowest, or about 1.5-2% of the total NAV of managed investment managers. The low allocation of funds in equity investments are influenced to bear the high risk investors in emerging markets with weak form efficiency rate (Bonser-Neal, et al 1999). Other causes of low investment in shares of the Indonesia Stock Exchange (IDX) is the inability of the investment manager in managing risk. These problems reduce investor interest in buying mutual fund shares. Other causes, frequently occur on the Stock Exchange transactions without knowing the assets at fair value (trading fad) that resulted in stock prices tend to be overvalued or undervalued causing asset prices and stock index mispricing often experienced. JCI also often have over-reaction in response to the entry of information / news that trading volatility is too high than it should. Investment risk is still marred the price reversal as a consequence the price correction that often occurs (Santosa, 2009).

During this time, theoretically, the risk of stock investment and yield expectations are generally using the traditional approach of Capital Asset Pricing Model (CAPM). But on a practical level, the CAPM is often questioned the accuracy and reliability as a gauge of market risk. According to Fama & French (1992) in the formation of the CAPM theory, variables or other factors not involved in explaining the expected return relationship with market risk (beta). Even more than 20 years, many financial and investment researchers found significant evidence that variables such as market capitalization (stock size), Price-to-Book Value (PBV) and Earnings to price ratio (EPS) has a significant influence (explanatory power) against the average yield on shares [Datar et al, (1998), Chan & Pfaff (2003); Jacoby et al (2000)].

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