mixed material bibliography Jakarta PPM School Of Management 2010

16 p.: figs., tabs. refs. This research attemps to find how the VaR, stock’s return and some trading activity variables would inter relate when the Indonesia Stock Exchange (IDX) has liquidity. We try to analyze the affects of value at risk (VaR), market risk (Beta), stock’s size, liquidity and price-to-book value ratio to the stock’s return. One of the purposes of this reasearh specifically is to try create the model as the alternative of classic CAPM in highest tick size (Rp50). This research focuses in (1) the relationship between return, VaR and market risk (2) the relationship between return and liquidity and (3) the relationship between return and PBV. We employ panel data methodology which the combining of time series and cross section for data analysis. The purposive stratified sampling data from active stocks of various industry get 7 samples of highprice level in LQ-45 index for period 2004-2006. The findings of this research are VaR, Beta, and liquidity have positively relate to the stock returns but liquidity showed the different result. These findings indicated that investment risk measurement such as VaR and Beta in the liquid market can provide rational interrelate to stock’s return especially, on highest tick size at IDX. Furthermore, these results support the previous researches which are done by many scholars, and conclude with a systematic coverage of empirical evidence about the opportunity of VaR as an alternative factor for Capital Asset Pricing Model (CAPM).<br> 20860390 Perpustakaan - Sekolah Tinggi Manajemen PPM Pusat Informasi Manajemen 41197 2014-06-10 00:00:00 2014-07-01 00:00:00 machine generated