DETAIL JURNAL
NUR ASTRI SARI, SAFRIANSYAH DAN BUDI ARTINAH
Vol. 8 No. 2 September 2016
Sekolah Tinggi Ilmu Ekonomi Indonesia (STIE Indonesia) Banjarmasin
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The
objective of this study is to show the volatility effect in Indonesia Stock
Exchange for the period 2011-2014. This study is comparing return and alpha
(CAPM and Fama-French three factors model) between high and low volatility
portfolio with trading scheme 3/0/1. The results of this study do not find
volatility effect in Indonesia Stock Exchange. It shows if the study results
which found volatility effect in many developed markets cannot be generalized
in emerging markets such as Indonesia, because there are characteristic
differences in both market
Keywords: high volatility, Indonesia
Stock Exchange, low volatility, volatility effect
