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
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 mo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Department of Management, Faculty of Economics and Business, Universitas Surabaya
2017-03-01
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| Series: | Manajemen dan Bisnis |
| Subjects: | |
| Online Access: | https://www.journalmabis.org/mabis/article/view/277 |
| _version_ | 1797937817443106816 |
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| author | Jesslyn Fransisca Darmawan Werner Ria Murhadi Putu Anom Mahadwartha |
| author_facet | Jesslyn Fransisca Darmawan Werner Ria Murhadi Putu Anom Mahadwartha |
| author_sort | Jesslyn Fransisca Darmawan |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T18:50:12Z |
| format | Article |
| id | doaj.art-3d3196d32f4741009187e15be9513db0 |
| institution | Directory Open Access Journal |
| issn | 1412-3789 2477-1783 |
| language | English |
| last_indexed | 2024-04-10T18:50:12Z |
| publishDate | 2017-03-01 |
| publisher | Department of Management, Faculty of Economics and Business, Universitas Surabaya |
| record_format | Article |
| series | Manajemen dan Bisnis |
| spelling | doaj.art-3d3196d32f4741009187e15be9513db02023-02-01T07:41:59ZengDepartment of Management, Faculty of Economics and Business, Universitas SurabayaManajemen dan Bisnis1412-37892477-17832017-03-0116110.24123/jmb.v16i1.277256THE 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 – 2016Jesslyn Fransisca DarmawanWerner Ria MurhadiPutu Anom MahadwarthaThe 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.https://www.journalmabis.org/mabis/article/view/277stock returnidiosyncratic volatilitymarket risksize |
| spellingShingle | Jesslyn Fransisca Darmawan Werner Ria Murhadi Putu Anom Mahadwartha 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 Manajemen dan Bisnis stock return idiosyncratic volatility market risk size |
| title | 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 |
| title_full | 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 |
| title_fullStr | 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 |
| title_full_unstemmed | 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 |
| title_short | 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 |
| title_sort | 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 |
| topic | stock return idiosyncratic volatility market risk size |
| url | https://www.journalmabis.org/mabis/article/view/277 |
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