LIKUIDITAS SAHAM DAN EFEKNYA TERHADAP RESIKO PORTFOLIO Sebuah Aplikasi Sederhana Konsep Value at Risk (VaR)
Authors
Taufik Ariyanto
Keywords:
Liquidity, Risk, Premium, Stocks, Portfolio, Value at Risk
Abstract
Liquidity issues have become a major concern in capital market community around the
world. Specifically, liquidity risk must be considered as a significant factor in investment
decision, and therefore, investor should demand more return to compensate any risk
associated with liquidity (liquidity premium). The existence of liquidity premium in
Jakarta Stock Exchange during period 2002-2003 will be analysed using Value at Risk
methodology to identify the (liquidity) risk inherent to individual stocks and portfolios.
With simple varian-covariance approach, the existence of liquidty premium for portfolios
of stocks (between low liquid portfolio and high liquid portfolio) can be confirmed.
However, at the individual stocks level, the existence of liquidty premium can not be
confirmed due to inconclusive result.
