PENGARUH PROPORTION OF MISSING DAILY RETURN, HARGA SAHAM, VOLUME PERDAGANGAN DAN RETURN SAHAM TERHADAP BID-ASK SPREAD (Studi Empiris pada Saham-Saham Papan Pengembangan Sektor Keuangan yang Terdaftar di Bursa Efek Indonesia Periode Tahun 2013-2014)

Abstract

This study aimed to examine the effect of proportion of missing daily return, stock price, trading volume and stock return on bid-ask spread. This study uses stocks of banking sector in development board that listed in the Indonesia Stock Exchange on 2013-2014 period. The sampling technique in this research is purposive sampling method covering 22 companies as the samples. This study uses Normality Test, Autocorrelation Test, Multicolliniarity Test, Heteroscedasticity Test, Coefficient of Determination R2 Test, F Statistic Test, t Statistic Test, and Multiple Linear Regression Analysis as the analysis method. Based on the results of the partial testing carried out, proportion of missing daily return has a positive impact on bid-ask spread and trading volume has a negative impact on Bid-ask spread. Meanwhile, stock price and stock return have no signifficant impact on bid-ask spread. Based on the test results of Coefficient of Determination R2 Test, proportion of missing daily returns, stock price, trading volume and stock return have 46.0% effect on bid-ask spread.