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Ivan Irawan
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Computer Science & IT Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice

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Short Horizon Return Predictability di Pasar Modal Indonesia Erman Denny Arfianto; Ivan Irawan
Jurnal Pasar Modal dan Bisnis Vol 1 No 1 (2019)
Publisher : The Indonesia Capital Market Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (397.675 KB) | DOI: 10.37194/jpmb.v1i1.7

Abstract

Purpose- This study aims to examine the effect of effective spread, price impact, trading volume, stock prices, and volatility of returns on the predictability of short-term returns (short horizon return predictability). Methods- This research offers a new approach perspective which is a market microstructure with intraday data to measure short horizon return predictability as an efficient market inversion. The sample in this study was 64 non-financial companies listed on the KOMPAS100 Index during October 2017-March 2018. Intraday data used using the 5-minute frequency obtained from Bloomberg. This study uses multiple linear regression analysis. Finding- This study found that price impact, trading volume, stock prices, and volatility have a positive impact on the predictability of long-term returns. This study also found that effective spread does not have a significant impact on the predictability of short-term returns.
Co-Authors Erman Denny Arfianto