PERUBAHAN BID-ASK SPREAD DAN ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHINYA DISEKITAR PENGUMUMAN LABA : (Studi Empiris Saham LQ 45 di Bursa Efek Jakarta)

Mubarak , Zaki (2002) PERUBAHAN BID-ASK SPREAD DAN ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHINYA DISEKITAR PENGUMUMAN LABA : (Studi Empiris Saham LQ 45 di Bursa Efek Jakarta). Masters thesis, program Pascasarjana Universitas Diponegoro.

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Abstract

Penelitian it bertujuan untuk mengetahui pengaruh pengtuntunan laba terhadap bid-ask spread saham perusahaan yang termasuk dalam LQ 45. Disamping itu penelitian ini juga mengkonfirmasi apakah variabel-variabel seperti harga saham, volume perdagangan dan varian return beipengaruh terhadap bid-ask spread di sekitar pengumuman laba. Sampel penelitian it adalah 32 perusahaan yang termasuk dalam indek LQ 45 pada awal 1997. Pengamatan dilakukan dari 5 hart sebelum sampai 5 hari sesudah pengumuman laba. Metode analisis yang digunakan adalah uji beda t test dan analisis regresi berganda. Basil penelitian menyatakan bahwa bid-ask spread menyempit setelah pengumuman laba, hal it berarti bahwa pengumuman laba mempunyai kandungan informasi sehingga mengalcibatkan adanya reaksi para partisipan pasar. Penelitian ini juga berhasil membuktikan bahwa harga dan volume berpengaruh positif terhadap bid-ask spread disekitar pengumuman laba. Tetapi, penelitian it tidak berhasil membuktikan bahwa varian return berpengaruh negatif terhadap bid-ask spread disekriar pengumuman laba. Kata Kunci: Bid-ask spread, pengtunuman laba, harga saham, volume perdagangan, varian return. The study purposes to investigate the effect of earning announcement toward bid-ask spread of companies stocks included in LQ 45 index. The study also confirms whether the factors such as stock price, trading volume, and return variance have significant effects toward bid-ask spread around earning announcement. The samples of the study are 32 companies included in LQ 45 index in early 1997. The observation were done from 5 days before until 5 days after earning announcement The analysis methods used are paired-samples t test and multiple regression analysis. The results show that spread become smaller after earning announcements, it means that earning announcements have information content that cause market participant's reaction. The study also proves that stock price and trading volume have negative effect toward bid-ask spread around earning announcements. On the other hancl the study cannot prove that return variance has positive effect toward bid-ask spread around earning announcements. Keywords: Bid-ask spread, earning announcement, stock price, trading volume, return variance

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HJ Public Finance
Divisions:Postgraduate Program > Master Program in Accounting
ID Code:9742
Deposited By:Mr UPT Perpus 2
Deposited On:29 Apr 2010 18:19
Last Modified:29 Apr 2010 18:19

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