Analisis pengaruh Transaction Cost, Market Value dan Volatility terhadap Holding Period saham :: Studi empiris di Bursa Efek Jakarta periode 2001-2003

YULIANTO, Rizqi, Dr. Mamduh M. Hanafi, MBA

2004 | Tesis | S2 Akuntansi

Tujuan penelitian ini untuk mengetahui hubungan transaction cost (bid-ask spread / spread), market value dan volatility (variance return saham dan beta disesuaikan) dengan holding period saham. Holding period saham diartikan sebagai lamanya waktu yang dilakukan investor guna menahan / memegang sahamnya selama periode tertentu. Pemakaian variance return saham dan beta disesuaikan sebagai bagian volatilitas dimaksudkan guna mendapatkan gambaran secara jelas dan konsisten hubungannya dengan holding period saham. Metode statistik penelitian ini menggunakan two-stage least square (TSLS) regression dengan alat analisa Uji-T dan Uji-F tingkat signifikasi 10%. Sampel penelitian ini menggambarkan populasi seluruh perusahaan terdaftar di BEJ th 2001, 2002 dan 2003 yang berjumlah 66 perusahaan yang diseleksi sebelumnya menggunakan metode purposive sampling dan terbagi menurut jenis perdagangannya (aktif, sedang dan lemah) masing-masing 22 perusahaan. Pengujian sampel dilakukan menurut jenis perdagangannya dan jumlah total data selama periode tersebut. Hal ini dimaksudkan untuk dapat mengetahui keadaaan yang sebenarnya terjadi dari masing-masing kondisi menurut jenis perdagangannya maupun keadaan keseluruhan data pertahun. Hasil pengujian statistik yang dilakukan peneliti menunjukkan bahwa transaction cost, market value dan volatility berhubungan positif dengan holding period saham. Hubungan lebih kuat didapatkan dari jumlah total data selama setahun jika dibandingkan menurut jenis perdagangannya. Adanya kecenderungan pengaruh volatilitas berhubungan positif terhadap holding period investor diluar dugaan peneliti sebelumnya yang memperkirakan hubungannya negatif.

The objective of this research is to understand relation transaction cost (bid-ask spread / spread), market value and volatility (variance return of share and adjusted beta) with the holding period of share. The holding period of share is interpreted as averages duration length of time that investor holds their stocks during specified period. The use of return variance and adjusted beta as part of volatility meant to get consistently and clearly relate with the holding period of share. The statistical methods used in this research which Two-Stage Least Squares (TSLS) Regression with T-test and F-test analyses at a confidence level of 10%. The research sample is representative the population of all stock listed on Jakarta Stock Exchange during 2001, 2002 and 2003, comprising a total sample 66 firm which selected before utilizing a purposive sampling method and divided according to their type of trade (active, moderate and weak) each 22 firms. The test of sample is conducted according to their type of trade and full scale data during each period. This is to knowing exact condition from each the type of trade or total sample of firm at year. This process intended to ascertain the exact conditions which exist under each type of trade and also for the totality of the sample each year. The research results show indication that the transaction cost, market value and volatility have a positive relation with the holding period of share. A stronger relationship was visible from full scale data during a given year if compared to type of trade. There was an indication that the influence of volatility positively related to the holding period of share which stands in contrast to how the researcher previously hypothesized a negative relation.

Kata Kunci : Pasar Modal,Holding Period Saham,Transaction Cost, Market Value,Holding period of share, Transaction cost, Market value and Volatility