Madyan, Muhammad (2013) Determinan Likuiditas Saham Syariah dan Non Syariah (Studi pada Industri Manufaktur yang terdaftar di Bursa Efek Indonesia). Doctor thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan menguji dan membuktikan secara empiris tentang: (1) Perbedaan likuiditas saham syariah dengan likuiditas saham non syariah (2) Pengaruh insider ownership, institutional ownership, blockholder ownership dan foreign institutional ownership , volume perdagangan, harga saham, volatilitas return , market to book value , kebijakan dividen dan size terhadap likuiditas ( relative spread dan depth ) saham syariah dan non syariah. Penelitian ini dilakukan pada perusahaan-perusahaan manufaktur yang sahamnya terdaftar di Bursa Efek Indonesia periode 2009-2010. Sampel penelitian ini adalah seluruh perusahaan manufaktur yang didasarkan pada kriteria populasi yang telah ditentukan, 43 perusahaan manufaktur yang sahamnya diklasifikasikan saham syariah dan 32 perusahaan manufaktur yang sahamnya diklasifikasikan saham non syariah. Pengujian hipotesis dalam penelitian ini menggunakan uji independent t test dan uji koefisien regresi. Selain itu untuk mendukung hasil temuan kuantitatif pada penelitian ini, maka dilakukan diskusi yang mendalam ( in deep interview ) dengan para pelaku pasar modal diantaranya adalah; manajer investasi, perantara pedagang efek dan pihak bursa efek. Hasil penelitian ini menunjukkan bahwa tidak terdapat bukti yang kuat untuk mendukung likuiditas saham syariah lebih tinggi dibandingkan likuiditas saham non syariah. Pada saham syariah, volume perdagangan dan kebijakan dividen mempunyai pengaruh negatif terhadap relative spread , sedangkan pada saham non syariah volume perdagangan, harga saham dan ukuran perusahaan mempunyai pengaruh negatif terhadap relative spread . Selain itu, institutional ownership mempunyai pengaruh negatif terhadap depth saham syariah, sedangkan foreign institutional ownership , volume perdagangan, kebijakan dividen dan ukuran perusahaan mempunyai pengaruh positif terhadap depth saham syariah. Selanjutnya, volume perdagangan, harga saham dan ukuran perusahaan mempunyai pengaruh positif terhadap depth saham non syariah.
English Abstract
This research actually aims at examination and taking empirical evidence on: (1) The differences of shari`ah stock liquidity and non-shari`ah stock liquidity (2) The influences of institutional ownership, insider ownership, blockholder ownership, foreign institutional ownership, trading volume, market price, return volatility, market to book value, dividend policy and firm`s size to shari`ah stock liquidity dan non shari`ah stock liquidity. The research is conducted at manufacturing industries listed on Indonesian Stock Exchange from 2009 to 2010. The sample of this research consists of all of manufacturing industries based on population criteria, 43 manufacturing industries classified as shari`ah stock and 32 manufacturing industries classified as non-shari`ah stock. Hypothesis testing is conducted using independent t-test and multiple regression test. In addition, to support results description of quantitative research findings in this study, it conducted in deep interview with capital market players, such as; investment managers, stock brokers and other players in the Indonesia Stock Exchanges who understand shari`ah stocks concept. The results show that there is no supporting evidence that shari`ah stock liquidity is higher than non-shari`ah stock liquidity. In shari`ah stocks, the trading volume and dividend policy have a negative effect on relative spread, whereas in non-shari`ah stock the trading volume, stock prices and firm size have a negative effect on relative spread. Institutional ownership has a negative effect on shari`ah stock depth, while foreign institutional ownership, trading volume, dividend policy, and size have a positive effect on shari`ah stock depth. The trading volume, stock prices and company size have a positive effect on depth non-shari`ah stock.
| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DES/332.632 2/MAD/d/061305516 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Doktor Kimia, Fakultas MIPA |
| Depositing User: | Endro Setyobudi |
| Date Deposited: | 29 Jul 2013 13:10 |
| Last Modified: | 13 Apr 2022 04:33 |
| URI: | http://repository.ub.ac.id/id/eprint/160748 |
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