Al Hanif, Muhammad Ibnu Sina (2020) Pengaruh Perhatian Investor Ritel, Likuiditas Saham, dan Peningkatan Utang Jangka Pendek Untuk Investasi Jangka Panjang terhadap Risiko Jatuhnya Harga Saham. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Penelitian ini bertujuan untuk membuktikan pengaruh perhatian investor ritel, likuiditas saham, dan peningkatan utang jangka pendek untuk investasi jangka panjang terhadap risiko jatuhnya harga saham. Risiko jatuhnya harga saham ini diukur dengan menggunakan skewness dari residual regresi time series dari return index terhadap return saham. Selain dari skewness risiko jatuhnya harga saham juga diukur menggunakan perbandingan standar deviasi residual naik dan standar deviasi residual turun dari regresi time series dari return index terhadap return saham. Penelitian ini menggunakan sampel yang berasal dari perusahan non keuangan yang terdaftar di Bursa Efek Indonesia periode 2016 – 2019.
Metode yang digunakan dalam penelitian ini menggunakan regresi data panel karena jenis data yang digunakan pada penelitian ini adalah cross section dan time series. Pengambilan data menggunakan teknik convenience sampling, diperoleh sebanyak 382 perusahaan yang kemudian diklasifikasi menjadi kuartal selama 4 periode per tahun.
Hasil penelitian menunjukan bahwa variabel perhatian investor ritel dan likuiditas saham berpengaruh negatif dan signifikan terhadap risiko jatuhnya harga saham, sedangkan variabel praktek perusahaan meningkatkan utang jangka pendek untuk investasi jangka panjang tidak berpengaruh signifikan terhadap risiko jatuhnya harga saham. Hasil studi ini menyimpulkan bahwa, risiko jatuhnya harga saham dipengaruhi oleh faktor eksternal perusahaan dan lebih merujuk terhadap perilaku investor pasar dalam melakukan valuasi perusahaan.
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This study aims to prove the influence of retail investor attention, stock liquidity, and increasing short-term debt for long-term investment to the stock price crash risk. The stock price crash risk is measured using the skewness of the residual time series regression of the return index on stock returns. The stock price crash risk are also measured using a comparison of rising residual standard deviations and decreasing residual standard deviations from the time series regression of the return index to stock returns. This study uses samples from non-financial companies listed on the Indonesia Stock Exchange for the period of 2016 - 2019.
The method used in this research uses panel data regression because the type of data used in this research is cross section and time series. Retrieval of data using convenience sampling techniques, obtained as many as 382 companies which were then classified into quarters for 4 periods.
The results showed that the variables of retail investor attention and stock liquidity had a negative and significant effect on the stock price crash risk, while the variable of corporate practice increasing short-term debt for long-term investments did not significantly influence the stock price crash risk. The results of this study conclude that, the stock price crash risk is influenced by external factors of the company and refers more to the behavior of market investors in valuing the company.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Perhatian Investor Ritel, Likuiditas Saham, Utang Jangka Pendek, Investasi Jangka Panjang, Risiko Jatuhnya Saham, Retail Investor Attention, Stock Liquidity, Short-Term Debt, Long-Term Investment, Crash Risk |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis |
| Depositing User: | Muhammad Ibnu Sina Al Hanif |
| Date Deposited: | 05 Aug 2020 08:34 |
| Last Modified: | 25 May 2023 14:20 |
| URI: | http://repository.its.ac.id/id/eprint/76935 |
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