Stock Return and Expected Idiosyncratic Risk, Evidence from Indonesian Stock Market

OWEN TAN, Dr. Marshall Xiaoyin Ma

2020 | Skripsi | S1 MANAJEMEN

Berdasarkan premis bahwa return saham tidak hanya dijelaskan oleh resiko sistematis, resiko non-sistematis dapat menjelaskan return saham. Riset pendahulu menunjukkan bahwa Idiosyncratic Risk (resiko non-sistematis) berkorelasi positif dengan return saham. Riset ini bertujuan menginvestigasi apakah return saham berkorelasi dengan Idiosyncratic Risk di Bursa Efek Indonesia pada periode 2009 sampai 2019. Riset ini menggunakan model EGARCH dengan Fama French Three Factors sebagai mean process untuk memprediksi Expected Idiosyncratic Volatility. Hasil dari riset ini menunjukkan bahwa return saham berkorelasi positif dan signifikan terhadap Expected Idiosyncratic Volatility. Namun, efek ini tidak begitu signifikan setelah model disesuaikan dengan Time Effect. Riset ini juga menunjukkan relasi datri return saham dan Expected Idiosyncratic Volatility menggunakan model Mean Process yang berbeda. Hasil yang menarik adalah, Significance Level semakin kuat menggunakan model Mean Processes yang berbeda dengan hasil positif. ANOVA test juga digunakan untuk menunjukkan bahwa Expected Idiosyncratic Volatility dengan Mean Process yang berbeda memiliki variasi yang berbeda secara statistik.

Under the premise that stock return is not only explained by systematic risk, idiosyncratic risk can be priced as well. Previous research has shown that idiosyncratic risk is positively related with stock return. This study investigates whether idiosyncratic risk can explain stock return in Indonesian Stock Market from period of 2009 to 2019. It employed EGARCH models with Fama French Three Factors as the mean process to estimate expected idiosyncratic volatility. The findings showed a positive and significant relation between stock return and expected idiosyncratic volatility. However, the effect is not as profound after adjusting for time effect. In addition, the study also showed the relation between stock return and expected idiosyncratic volatility with different mean processes. Interestingly, significance level is increasing under all other mean processes while maintaining its positive sign. ANOVA test was conducted as well and showed that expected idiosyncratic volatility with different mean processes are statistically different from each other.

Kata Kunci : Idiosyncratic risk, Stock returns, EGARCH, Fama French Three Factors, Indonesian Stock Market