THE HIGH-VOLUME RETURN PREMIUM
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https://doi.org/10.9744/jak.9.1.pp.%2029-34Keywords:
trading activity, negative abnormal return, positive abnormal returnAbstract
The objective of this paper is to investigate the role of trading activity in terms of the information it contains about future return. More precisely, we are interested in the power of trading volume in predicting the direction of future return movements. We find that individual stock whose trading activity is unusually large (small) over periods, as measured by trading volume during those periods; tend to experience large (small) returns over the subsequent period. In other words, a high-volume return premium were combined effect between stocks experiencing positive shocks subsequent generate positive abnormal return, where as stock experiencing negative volume shocks subsequently negative abnormal return. Abstract in Bahasa Indonesia : Tujuan dari penelitian ini untuk mengetahui bahwa aktivitas perdagangan yang sangat tinggi akan diikuti oleh return yang positif pada periode berikutnya dan aktivitas perdagangan yang sangat rendah akan diikuti oleh return yang negatif pada periode berikutnya. Hasil dari penelitian ini ditemukan bahwa aktivitas perdagangan dapat digunakan untuk memprediksikan return yang akan datang, aktivitas perdagangan yang sangat tinggi pada perusahaan dengan nilai kapitalisasi besar dan perusahaan dengan nilai kapitalisasi kecil akan diikuti oleh return yang positif pada periode berikutnya, dan aktivitas perdagangan yang sangat rendah pada perusahaan dengan nilai kapitalisasi besar dan perusahaan dengan nilai kapitalisasi kecil akan diikuti oleh return yang negatif pada periode berikutnya. Kata kunci : aktivitas perdagangan, return yang positif, return yang negatifDownloads
Published
2008-09-12
How to Cite
Kurniasari, W. (2008). THE HIGH-VOLUME RETURN PREMIUM. Jurnal Akuntansi Dan Keuangan, 9(1), pp. 29-34. https://doi.org/10.9744/jak.9.1.pp. 29-34
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