The determinants of idiosyncratic volatility in Indonesia banking industries
This study aims to examine the determinants of idiosyncratic volatility. This study uses firm fundamentals, institutional ownership, interest rates as idiosyncratic volatility determinants. The firm fundamentals of this study are represented by firm size, profitability, operating performances, divid...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Merdeka Malang
2020-04-01
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| Series: | Jurnal Keuangan dan Perbankan |
| Subjects: | |
| Online Access: | http://jurnal.unmer.ac.id/index.php/jkdp/article/view/3851 |
| _version_ | 1818451020237242368 |
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| author | Amrie Firmansyah Pardomuan Sihombing Sri Yani Kusumastuti |
| author_facet | Amrie Firmansyah Pardomuan Sihombing Sri Yani Kusumastuti |
| author_sort | Amrie Firmansyah |
| collection | DOAJ |
| description | This study aims to examine the determinants of idiosyncratic volatility. This study uses firm fundamentals, institutional ownership, interest rates as idiosyncratic volatility determinants. The firm fundamentals of this study are represented by firm size, profitability, operating performances, dividend policy, and price to earnings ratio. Institutional ownership represents the ownership of the company’s shares by financial companies. The interest rates are represented by 3-month bank deposit rates for one year. The research method uses a quantitative approach with secondary data. Hypothesis examining is conducted by panel data regression analysis. By using a purposive sampling method, the company selected is 24 banking sector companies with observation time from 2012 up to 2018. Thus, the total sample in this research amounted to 168 firm-year. The result of the study suggests that firm size, price-earnings ratio, dividend policy, profitability, and interest rates are negatively associated with idiosyncratic volatility. However, operating performance and institutional ownership are not associated with idiosyncratic volatility. |
| first_indexed | 2024-12-14T21:00:33Z |
| format | Article |
| id | doaj.art-2b3937b80bc045ee94883c9e498593a8 |
| institution | Directory Open Access Journal |
| issn | 1410-8089 2443-2687 |
| language | English |
| last_indexed | 2024-12-14T21:00:33Z |
| publishDate | 2020-04-01 |
| publisher | Universitas Merdeka Malang |
| record_format | Article |
| series | Jurnal Keuangan dan Perbankan |
| spelling | doaj.art-2b3937b80bc045ee94883c9e498593a82022-12-21T22:47:35ZengUniversitas Merdeka MalangJurnal Keuangan dan Perbankan1410-80892443-26872020-04-0124217518810.26905/jkdp.v24i2.3851The determinants of idiosyncratic volatility in Indonesia banking industriesAmrie Firmansyah0Pardomuan Sihombing1Sri Yani Kusumastuti2Polytechnic of State Finance STAN Jl. Bintaro Utama Sektor V, Bintaro Jaya, Tangerang, 15222 IndonesiaPolytechnic of State Finance STAN Jl. Bintaro Utama Sektor V, Bintaro Jaya, Tangerang, 15222 IndonesiaPolytechnic of State Finance STAN Jl. Bintaro Utama Sektor V, Bintaro Jaya, Tangerang, 15222 IndonesiaThis study aims to examine the determinants of idiosyncratic volatility. This study uses firm fundamentals, institutional ownership, interest rates as idiosyncratic volatility determinants. The firm fundamentals of this study are represented by firm size, profitability, operating performances, dividend policy, and price to earnings ratio. Institutional ownership represents the ownership of the company’s shares by financial companies. The interest rates are represented by 3-month bank deposit rates for one year. The research method uses a quantitative approach with secondary data. Hypothesis examining is conducted by panel data regression analysis. By using a purposive sampling method, the company selected is 24 banking sector companies with observation time from 2012 up to 2018. Thus, the total sample in this research amounted to 168 firm-year. The result of the study suggests that firm size, price-earnings ratio, dividend policy, profitability, and interest rates are negatively associated with idiosyncratic volatility. However, operating performance and institutional ownership are not associated with idiosyncratic volatility.http://jurnal.unmer.ac.id/index.php/jkdp/article/view/3851firm fundamentalsidiosyncratic volatilityinstitutional ownershipinterest rates |
| spellingShingle | Amrie Firmansyah Pardomuan Sihombing Sri Yani Kusumastuti The determinants of idiosyncratic volatility in Indonesia banking industries Jurnal Keuangan dan Perbankan firm fundamentals idiosyncratic volatility institutional ownership interest rates |
| title | The determinants of idiosyncratic volatility in Indonesia banking industries |
| title_full | The determinants of idiosyncratic volatility in Indonesia banking industries |
| title_fullStr | The determinants of idiosyncratic volatility in Indonesia banking industries |
| title_full_unstemmed | The determinants of idiosyncratic volatility in Indonesia banking industries |
| title_short | The determinants of idiosyncratic volatility in Indonesia banking industries |
| title_sort | determinants of idiosyncratic volatility in indonesia banking industries |
| topic | firm fundamentals idiosyncratic volatility institutional ownership interest rates |
| url | http://jurnal.unmer.ac.id/index.php/jkdp/article/view/3851 |
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