ANALISIS PENGARUH ILLIKUIDITAS AMIHUD, TURNOVER, TEKANAN LIKUIDITAS, KECENDERUNGAN ARAH PERDAGANGAN DAN BOOK TO MARKET TERHADAP RETURN SAHAM (Studi Pada Perusahaan Yang Terdaftar di Kompas100 Tahun 2014)

Abstract

This study aimed to analyze factors such Amihud illiquidity, turnover, liquidity pressure, the tendency towards trade and book to market have an impact on stock returns. This research was made because there are differences in the results between studies with one another as well as the state shares fluctuated because of elections on 2014. This study uses multiple linear regression statistical tools to test the hypothesis. Population of this research is the company's shares listed on the Indonesia Stock Exchange on 2014. The sampling technique used is purposive sampling with criteria: (1) companies listed on the Indonesia Stock Exchange during on 2014, (2) companies registered in KOMPAS100 on 2014, (3) the company has the financial statements during the observation period and (4) the company has more than 50 times the minimum trading transactions in one month. Data obtained from Bloomberg. Then, obtained total sample of 36 companies of 100 companies listed in KOMPAS100. The results showed that the turnover and liquidity pressures significantly positive effect on stock returns. Whereas other variables such as Amihud, the tendency towards trade and book to market have no effect on stock returns. In addition, the result that adjusted R-square value of 16.9%. This means that for 83.1% explained by other variables outside the model.