Proceedings of the 17 th International Symposium on Management (INSYMA 2020)

The Effect of Illiquidity on Stock Return on the Indonesia Stock Exchange

Authors
E. Ernawati, A. Herlambang
Corresponding Author
E. Ernawati
Available Online 31 January 2020.
DOI
https://doi.org/10.2991/aebmr.k.200127.049How to use a DOI?
Keywords
Illiquidity, stock characteristics, stock return
Abstract
This research is the development of research that has been done by Nanlohy et al. (2018). Nanlohy used the object of the Consumer Goods Sector Companies over the 2011-2015 period, while this study used the objects of all companies listed on the Indonesia Stock Exchange over the 2013-2017 period. The purpose of this study was to examine the effect of illiquidity and other stock characteristics, including size, beta, risk, and dividend yield on stock returns. Companies that met the criteria to be the object of research were 67 listed companies from 555 listed companies. The data used was panel data that was processed using multiple linear regression models with the help of Eviews 8. The results obtained from this study were liquidity had a significant negative effect, size had a significant positive effect, and risk had a significant positive effect. Whereas beta had no significant negative effect and dividend yield had no significant positive effect.
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Volume Title
Proceedings of the 17 th International Symposium on Management (INSYMA 2020)
Series
Advances in Economics, Business and Management Research
Publication Date
31 January 2020
ISBN
978-94-6252-892-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.200127.049How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - E. Ernawati
AU  - A. Herlambang
PY  - 2020
DA  - 2020/01/31
TI  - The Effect of Illiquidity on Stock Return on the Indonesia Stock Exchange
BT  - Proceedings of the 17 th International Symposium on Management (INSYMA 2020)
PB  - Atlantis Press
SP  - 239
EP  - 243
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200127.049
DO  - https://doi.org/10.2991/aebmr.k.200127.049
ID  - Ernawati2020
ER  -