THE INFLUENCE OF IDIOSYNCRATIC VOLATILITY, MARKET RISK, AND SIZE ON STOCK RETURN OF A NON-FINANCIAL COMPANY REGISTERED IN INDONESIA STOCK EXCHANGE IN THE PERIOD OF 2012 – 2016

Jesslyn Fransisca Darmawan; Werner Ria Murhadi; Putu Anom Mahadwartha

doi:10.24123/jmb.v16i1.277

THE INFLUENCE OF IDIOSYNCRATIC VOLATILITY, MARKET RISK, AND SIZE ON STOCK RETURN OF A NON-FINANCIAL COMPANY REGISTERED IN INDONESIA STOCK EXCHANGE IN THE PERIOD OF 2012 – 2016

Jesslyn Fransisca Darmawan⁽¹⁾, Werner Ria Murhadi^(2*), Putu Anom Mahadwartha⁽³⁾,

(1)
(2) Faculty of Business and Economics. Universitas Surabaya, Indonesia
(3) Faculty of Business and Economics. Universitas Surabaya, Indonesia
(*) Corresponding Author

Abstract

The objective of this research is to examine the effect of idiosyncratic volatility, market risk, and size, as the independent variable on stock return on non-financial firm (eight sectoral) listed on Indonesia Stock Exchange. This research uses quantitative perspective with linier regression and model in a panel data for all of the research’s observation used in this research. The number of observation in this research is 1440, consisting of 288 firms that have been enlisted on Indonesia Stock Exchange during 2012-2016 period. The result shows that idiosyncratic volatility has a negative significant effect on stock return. Market risk and size appear to have no significant effect on stock return.

Keywords

stock return; idiosyncratic volatility; market risk; size

Full Text:

PDF

References

Asma, Rusdayanti, 2006, Cross Section Return Saham Dan Kebijakan Moneter, Jurnal Ekonomi dan Kewirausahaan, Vol. 6 (1): 22–35.

Asri, I Gusti Ayu Amanda Yulita, I Ketut Suwarta, 2014, Pengaruh Faktor Fundamental dan Ekonomi Makro Pada Return Saham Perusahaan Consumer Good, Jurnal Akuntansi, Universitas Udayana.

Bali, Turan G., dan N. Cakiki, 2006, Idiosyncratic Volatility and the Cross-Section of Expected Returns, Working Papers, City University of New York.

Berggrun, Luis, Edmundo Lizarza, dan Emilio Cardona, 2016, Idiosyncratic Volatility and Stock Returns: Evidence from the MILA, Research in International Business and Finance, 37: 422-434.

Bhardwaj, R.K. and Brooks, L.D., 1993, Dual beta from bull and bear market: reversal of the size effect, The Journal of Financial Research, Vol.XVI No.4 Winter 1993.

Bradrania, M. Reza, Maurice Peat, dan Stephen Satchell, 2015, Liquidity Cost, Idiosyncratic Volatility, and Expected Stock Returns, International Review of Financial Analysis, 42: 394-406.

Carhart, M., 1997, On Persistence of Mutual Fund Performance, Journal of Finance, 52: 57-82.

Chen N.F., R. Roll dan S.A. Ross, 1986, Economic Forces and the Stock Market, Journal of Business, Vol. 59(3): 383-403.

Clinebell, J.M.; Squires, J.R. and Stevens, J.L., 1993, Investment performance over bull and bear markets: Fabozzi and Francis revisited, Quarterly Journal of Business and Economics, Vol.32 No.4

Fama, Eugene F. dan Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance, 47(2): 427–65.

Fama, Eugene F. dan Kenneth R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33(1): 3–56.

_________________________________, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51: 55-84.

_________________________________, 1998, Value versus Growth: The International Evidence, Journal of Finance, 53: 1975-1999.

Fama, Eugene F., dan James D. Macbeth, 1973, Risk, Return and Equilibrium: Empirical Test, Journal of Political Economics, 81: 607-636.

Francis, Jack C, 1991, Investments: Analysis and Management, Fifth Edition, New York: Mc. Graw Hill

Ghozali, Imam, 2009, Aplikasi Analisis Multivariate dengan Program SPSS, Edisi 3, Semarang: Universitas Diponegoro.

Graham, J.E. dan Saporoschenko, A., 1999, The varying risk market model: a reexamination based on heteroskedastic conditions and other statistical robustness tests, Quarterly Journal of Business and Economics, Vol.38 No.1.

Gujarati, Damodar, 1995, Basic Econometrics, Third Edition, New York: Mc-Graw Hill, Inc.

Gujarati dan Porter, 2012, Dasar-Dasar Ekonometrika, Buku 2, Jakarta: Salemba Empat.

Handojo, Irwanto, 2007, Pengaruh Efek Persistensi Earning dalam Analisis Fundamental Guna Memprediksi Return Saham, The 1stAccounting Conference, Jakarta: Universitas Indonesia.

Han, Yufeng, dan D.A. Lesmond, 2009, Idiosyncratic Volatility and Liquidity cost, Working Paper, University of Colorado at Denver - Business School.

Howton, S.W. dan Peterson, D.R., 1998, An examination of cross-sectional realized stock returns using a varying risk beta model, The Financial Review, Vol.33.

Husnan, Suad, 2009, Teori Portofolio dan Analisis Sekuritas, Edisi Keempat, Yogyakarta: UPP STIM YKPN.

Ibrahim, Hadiasman, 2008, Pengaruh Tingkat Suku Bunga,Peringkat Obligasi, Ukuran Perusahaan, dan DER terhadap Yield to Maturity Obligasi Korporasi di Bursa Efek Indonesia Periode 2004-2006, Tesis, Universitas Diponegoro.

Isakov, Dusan, 1997, Is beta still alive? Conclusive evidence from the Swiss stock market, The European Journal of Finance, Vol. 5 (3): 202-212.

Jegadeesh, Narasimhan, dan Sheridan Titman, 1993, Returns to Buying or Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, Vol. 48(1): 65-91.

Jogiyanto, 2010, Teori Portofolio dan Analisis Investasi, Yogyakarta: BPFE.

Jones, C, 2002, A Century of Stock Market Liquidity and Trading Costs, Working Paper, Columbia University.

Jundan Adi Wiratama, 2012, Pengaruh Informasi Laba, Arus Kas dan Size Perusahaan terhadap Return Saham (Studi Empiris pada Perusahaan Manufaktur yang Terdaftar di BEI), Jurnal Ilmiah Akuntansi dan Humanika, 2(1):h:1-25.

Levy, H, 1978, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio, American Economic Review, 68: 643-658.

Lintner, John, 1965., The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47: 13-37

Maberya, Ni Putu Ena dan Agung Suaryana, 2009, Pengaruh Pemoderasi Pertumbuhan Laba terhadap Hubungan antara Ukuran Perusahaan, Debt to Equity Ratio dengan Profitabilitas pada Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia, Jurnal Ekonomi, Bali: Universitas Udayana.

Malkiel, Burton G. dan Xu, Yexiao, 1997, Risk and Return Revisited. Journal of Portfolio Management, Vol. 23(3): 9-14.

Malkiel, Burton G. dan Yexiao Xu, 2004, Idiosyncratic Risk and Security Returns, Working Papers, The Annual Meetings of the American Finance Association.

Megginson, W.L., S.B. Smart, dan J. Graham, 2010, Financial Management, 3rd Edition, South Western Publishing.

Merton, R. C, 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, 42: 483-510.

Muhammad, Ryan, 2010, Pengaruh capital adequacy ratio, firm size dan price to book value terhadap return saham perbankan 2006-2008, Jurnal Ilmiah : binus.ac.id

Mossin, Jan, 1966, Equilibrium in Capital Asset Market, Econometrica, Vol. 34(4): 768-783.

Murhadi, Werner R. Dan Wijaya, Liliana I., 2011, Studi Pengaruh Good Corporate Governance, Analyst Coverage, dan Tahapan Daur Hidup terhadap Kebijakan Deviden, Jurnal Manajemen & Bisnis, Vol. 10(1): pp.111-126

Murhadi, Werner R., 2013, Pengaruh Idiosyncratic Risk Dan Likuiditas Saham Terhadap Return Saham, Jurnal Manajemen & Kewirausahaan, Vol. 15(1): pp. 33-40. https://doi.org/10.9744/jmk.15.1.33-40

Novak, Jiri dan Petr, Dalibor, 2010, CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns. Finance a úvěr-Czech, Journal of Economics and Finance, 60 (5), pp: 447- 460.

Rachmatika, Dian, 2006, Analisis Pengaruh Beta Saham, Growth Opportunities, Return On Asset dan Debt to Equity Ratio Terhadap Return Saham (Studi Komparatif Pada Perusahaan di BEJ yang Masuk LQ-45 Tahun 2001-2004 Periode Bullish Dan Bearish), Tesis, Universitas Diponegoro.

Roll, R, 1977, A Critique of the Asset Pricing Theory’s Tests; Part 1: On Past and Potential Testability of the Theory, Journal of Financial Economics, Vol. 4: 129-176.

Ross, S, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13(3): 341–360.

Sharpe, W.F, 1961, A Simplified Model For Protfolio Analysis, Management Science, January.

Solechan, Achmad, 2007, Pengaruh Earning, Manajemen Laba, IOS, Beta, Size, dan Rasio Hutang Terhadap Return Saham Perushaaan yang Go Public di BEI, Thesis, STIMIK HIMSYA.

Soleman, Rusman, 2008, Karakteristik Perusahaan terhadap Tingkat Leverage, Jurnal Keuangan dan Perbankan, Vol. 12: 3.

Spiegel, M., dan Xiaotong Wang, 2005, Cross Sectional variation in Stock Returns: Liquidity and Idiosyncratic Risk, Working Papers, Yale University.

Sugiarto, Agung, 2011, Analisa Pengaruh Beta, Size Perusahaan, DER dan PBV Ratio Terhadap Return Saham, Jurnal Dinamika Akuntansi, 3 (1), h:8-14.

Tandelilin, Eduardus, 2001, Beta pada pasar bullish dan bearish: studi empiris di Bursa Efek Jakarta, Jurnal Ekonomi dan Bisnis Indonesia, Vol.16 No.3.

Tandelilin, Eduardus, 2007, Analisis Investasi dan Manajemen Portofolio, Edisi1, Cetakan II, BPFE Yogyakarta.

Tinic, S. M., dan R. R. West, 1986, Risk, Return and Equilibrium: A Revisit, Journal of Political Economy, 94: 126-147.

Trimech, Anyssa, dan Hedi Kartos, 2009, Multiscale Carhart Four-Factor Pricing Model, The ICFAI University Journal of Financial Risk Management: IJFRM, 6(2): 61-75.

Triwulandari, Ria., dan Dinnul Alfian Akbar, Analisis Pengaruh Beta, Ukuran Perusahaan (SIZE), EPS dan ROA Terhadap Return Saham Perusahaan Consumer Goods Periode 2008-2012, Tesis, Magister Manajemen Program Pasca Sarjana STIE MDP, Palembang.

Utomo, Welly, 2007, Analisis Pengaruh Beta Dan Varian Return Saham Terhadap Return Saham Studi Pada Perusahaan LQ 45 Di Bursa Efek Jakarta Periode Bulan Januari Tahun 2005 Sampai Dengan Bulan Desember Tahun 2005, Tesis, Universitas Diponegoro.

Zhang, Wei, Xiao Li, Dehua Shen, dan Andrea Teglio, 2016, R2 and Idiosyncratic Volatility: Which Captures the Firm-Spesific Return Variation?, Economic Modelling, 55: 298-304.

DOI: https://doi.org/10.24123/jmb.v16i1.277