Pengaruh share repurchase dan likuiditas terhadap volatilitas saham
Article Sidebar
Main Article Content
Abstract
FSA oversees capital market regulations to maintain the stability of the Indonesian capital market, especially during unstable conditions, through a share repurchase policy. This study aims to analyze the relationship between share repurchase and liquidity on stock volatility. The research sample was selected using a purposive sampling technique, and 137 samples met the criteria. Data analysis was performed using multiple linear regression. The results of this study indicate that share repurchase has a significant negative effect on stock volatility, and liquidity has a significant positive effect on stock volatility. These findings indicate that share repurchasing can be considered for companies to reduce stock volatility in the short term, and they need to pay attention to stock liquidity conditions as a factor affecting stock price fluctuations.
OJK mengatur regulasi pasar modal untuk menjaga stabilitas pasar modal Indonesia terutama pada saat kondisi berfluktuasi, salah satunya melalui kebijakan share repurchase. Penelitian ini bertujuan untuk menganalisis hubungan share repurchase dan likuiditas terhadap volatilitas saham. Sampel penelitian dipilih dengan teknik purposive sampling dan terdapat 137 sampel yang memenuhi kriteria. Analisis data menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa share repurchase berpengaruh negatif secara signifikan terhadap volatilitas saham dan likuiditas berpengaruh positif secara signifikan terhadap volatilitas saham. Temuan ini mengindikasikan bahwa share repurchase dapat dijadikan pertimbangan bagi perusahaan untuk upaya meredam volatilitas saham dalam jangka pendek, serta perlu memperhatikan kondisi likuiditas saham sebagai faktor yang mempengaruhi fluktuasi harga saham.
Article Details
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
This work is licensed under a Jurnal Manajemen Bisnis dan Kewirausahaan Creative Commons Attribution-ShareAlike 4.0 International License.
References
Aït-Sahalia, Y., Jacod, J., & Li, J. (2012). Testing for jumps in noisy high frequency data. Journal of Econometrics, 168(2), 207–222. https://doi.org/10.1016/j.jeconom.2011.12.004
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. https://doi.org/10.1016/S1386-4181(01)00024-6
Amihud, Y., & Mendelson, H. (2015). The pricing of illiquidity as a characteristic and as risk. Multinational Finance Journal, 19(3), 149–168. https://doi.org/10.17578/19-3-1
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments (10th ed.). McGraw-Hill.
Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22(6), 2201–2238. https://doi.org/10.1093/rfs/hhn098
Chakravarty, S., & Holden, C. W. (1995). An integrated model of market and limit orders. Journal of Financial Intermediation, 4(3), 213–241. https://doi.org/10.1006/jfin.1995.1010
Cheriyan, N. K., & Lazar, D. (2019). Relationship between liquidity, volatility and trading activity: An intraday analysis of Indian stock market. International Journal of Economics and Financial Issues, 9(1), 17–22. http:www.econjournals.comDOI:https://doi.org/10.32479/ijefi.7268
Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56(1), 3–28. https://doi.org/10.1016/S0304-405X(99)00057-4
De Cesari, A., Espenlaub, S., & Khurshed, A. (2011). Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity? Journal of Corporate Finance, 17(5), 1558–1579. https://doi.org/10.1016/j.jcorpfin.2011.08.002
Epps, T. W., & Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis. Econometrica, 44(2), 305321. https://doi.org/10.2307/1912726
Hong, H., Wang, J., & Yu, J. (2008). Firms as buyers of last resort. Journal of Financial Economics, 88(1), 119–145. https://doi.org/10.1016/j.jfineco.2007.04.004
Kim, J. (2007). Buyback trading of open market share repurchase firms and the return volatility decline. International Journal of Managerial Finance, 3(4), 316–337. https://doi.org/10.1108/17439130710824343
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. https://doi.org/10.2307/1913210
Pirgaip, B. (2021). Pan(dem)ic reactions in Turkish stock market: Evidence from share repurchases. Eurasian Economic Review, 11(2), 381–402. https://doi.org/10.1007/s40822-021-00173-6
Tandelilin, E. (2001). Analisis investasi dan manajemen portofolio (1st ed.). BPFE.
Wang, G. H. K., & Yau, J. (2000). Trading volume, bid-ask spread, and price volatility in futures markets. Journal of Futures Markets, 20(10), 943–970. https://doi.org/10.1002/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8
Wang, H. B., Nguyen, C., & Rafi, N. A. (2021). The effectiveness of price-stabilizing share buybacks: Evidence from listed firms in Vietnam. North American Journal of Economics and Finance, 57, 101436. https://doi.org/10.1016/j.najef.2021.101436