ANALISIS MODEL VOLATILITAS RETURN SAHAM (Studi Kasus pada Saham LQ 45 di Bursa Efek Jakarta)

Abstract

ABSTRACT In investment especially in stock, we have two factor, stock return and risk factor. Stock return can be seen by the percentage of random walk in stock return. Asymmetric effect occurs when effect against volatility differ from case of good news and bad news. The purpose of this research is to examine empirically the existence of phenomenon time varying volatility occuring in the fluctuation of stock return and volatility, the existence of asymmetric effect in stock return and volatility, also to estimate empirically the trading volume effecting the stock and volatility return. Data used in this research is daily index closing stock price and the amount of LQ 45 stock sold from 2003-2004 period. For this purpose basic estimation model “GARCH” and “EGARCH” are developed. The result of the research shows that stock return in Indonesia faces time varying volatility problem but leverage effect does not happen on the volatility stock return, and stock return is not effected by trading volume. In reality the capital market of Indonesia is categorized as weak market. Keyword : return stock, random walk, asymmetric effect, volatility, GARCH and EGARCH model.