Pujiharjanto, C. Ambar and Ediningsih, Sri Isworo and Nilmawati, Nilmawati (2009) Model Hubungan Harga Saham dengan Volume Perdagangan Saham di Bursa Efek Indonesia. Jurnal Bisnis dan Ekonomi, 14 (3). pp. 262-272. ISSN 0854-9842
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10. Pujihartanto, Ediningsih, Nilmawati. 2009. Model Hubungan Harga_lengkap.pdf Download (5MB) | Preview |
Abstract
The purpose of this study is to investigate the statistical relationship between daily stock price and trading volume changes, using Granger Causality Test in Indonesian Stock Exchange over period 2000-2007. This study analyses these causal relationships using log natural or percentage changes. The test of the Granger causality between daily stock price and daily volume change provide evidence that the stock price change influencing trading volume, in other word this results that the relationship between stock prices and trading volumes are unidirectional causality. Moreover, the evidence strongly indicates that in Indonesian Stock Exchange is characterized highly asymmetric information. Key words: stock, price, volume, Granger Causality, asymmetric information.
| Item Type: | Article |
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| Uncontrolled Keywords: | stock, price, volume, Granger Causality, asymmetric information |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HG Finance |
| Divisions: | Faculty of Law, Arts and Social Sciences > School of Management |
| Depositing User: | Dra. M.M Sri Isworo Ediningsih |
| Date Deposited: | 21 Jan 2022 07:48 |
| Last Modified: | 21 Jan 2022 07:48 |
| URI: | http://eprints.upnyk.ac.id/id/eprint/27850 |
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