ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI BID ASK SPREAD (Studi Kasus Pada Perusahaan Non Finansial Yang Go Public di Bursa Efek Jakarta)

Abstract

In investing their money, the investors always need information. One of them is stock bid ask spread. But they usually don't notice it. In fact, stock bid ask spread can reflect trading volume, asset size, stock rise level, etc. The purpose of this research was to analyze the influences of stock price, trading volume, return volatility, dividend payout ratio, asset size, leverage, and liquidity to stock bid ask spread in Jakarta Stock Exchange either individually or simultaneously. This research used double regression analysis with bid ask spread as a dependent variable and stock price, trading volume, return volatility, dividend payout ratio, asset size, leverage, and liquidity as independent variables. The period that was used was 1999 until 2001 with 36 emitents as the samples. These samples were collected by purposive sampling method. The results of this research showed that there were significant influences of stock price, trading volume, return volatility, dividend payout ratio, asset size, leverage, and liquidity to bid ask spread simultaneously. There were also significant influences of trading volume and asset size to bid ask spread individually. Dalam berinvestasi, para investor selalu memerlukan informasi. Salah satunya adalah bid ask spread saham. Namun mereka sering mengabaikan bid ask spread saham. Padahal bid ask spread ini dapat mencerminkan volume perdagangan, total aset, risiko saham, dll. Tujuan dari penelitian ini adalah untuk menganalisis pengaruh harga, volume perdagangan, volatilitas return saham, dividend payout ratio, ukuran aset, leverage, dan likuiditas terhadap bid ask spread saham di Bursa Efek Jakarta, baik secara individual maupun simultan. Penelitian ini menggunakan analisis regresi berganda dengan bid ask spread saham sebagai variabel dependen dan variabel harga, volume perdagangan, volatilitas return saham, dividend payout ratio, ukuran aset, leverage, serta likuiditas sebagai variabel independen. Periode yang dipergunakan adalah tahun 1999 sampai dengan tahun 2001 dengan 36 emiten sebagai sampel. Pengambilan sampel dilakukan dengan cara purposive sampling. Basil penelitian ini menunjukkan bahwa terdapat pengaruh yang signifikan antara harga, volume perdagangan, volatilitas return saham, dividend payout ratio, ukuran aset, leverage, dan likuiditas terhadap bid ask spread saham secara simultan. Selain itu terdapat pengaruh yang signifikan antara volume perdagangan dan ukuran aset secara individual terhadap bid ask spread saham