Tamaro, Joshua and Lingga, Margaretha (2019) Liquidity and Stock Return in Lq45 Government Bank Sector Companies in Indonesia from 2015-2018. Bachelor thesis, Swiss German University.

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Abstract

Liquidity has been accepted by experts about its ability to affect stock returns. It is importance to investors, listed companies and financial markets. Eventhough there is overflowing literature that describing the relationship between liquidity and stock retuns, results about it are mixed. This might be due to the reason that liquidity has many kind of measurements and various meaning. The purposes of this study are to examine the liquidity – stock return relationship based on a sample from government bank in LQ45 companies over the period of 2015-2018. The intuition of this research is that liquidity is negatively correlated with stock returns as rational investors would demand a greater rate of return for holding illiquid stocks. Overall, it is revealed the effect of these measurement to stock return is relatively small. Turnover rate is negatively correlated with stock returns. On the other hand, intraday price range, bidask spread, Amihud’s Illiquidity measurement and trading volume are positively correlated with stock return.

Item Type:	Thesis (Bachelor)
Uncontrolled Keywords:	Stock Return ; Liquidity ; Transaction Costs ; Price Impact ; Transaction Quantity
Subjects:	H Social Sciences > HG Finance > HG1501-3550 Banking H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. H Social Sciences > HG Finance > HG4551 Stock exchanges
Divisions:	Faculty of Business Administration and Communication > Department of Business Administration
Depositing User:	Adityatama Ratangga
Date Deposited:	18 May 2020 02:14
Last Modified:	18 May 2020 02:14
URI:	http://repository.sgu.ac.id/id/eprint/322

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