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Journal articles on the topic 'Volatility'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Arvian Rifki Santosa. "ANALISIS HUBUNGAN VOLATILITAS SAHAM BUKA, BRIS, KAEF, HMSP LQ45 DAN INDIKATOR PERTUMBUHAN EKONOMI NASIONAL." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 12 (2024): 2. https://doi.org/10.17977/um066v4i122024p2.

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Penelitian ini bertujuan untuk menganalisis hubungan antara volatilitas sahamperusahaan dalam indeks LQ45 (BUKA, BRIS, KAEF, HMSP) dan indikatorpertumbuhan ekonomi nasional, seperti PDB, inflasi, suku bunga, dan nilaitukar Rupiah. Dengan menggunakan pendekatan kuantitatif dan datasekunder periode 2016–2023, penelitian ini mengevaluasi pengaruh dinamikapasar modal terhadap stabilitas ekonomi domestik. Hasil penelitianmenunjukkan bahwa saham-saham ini memiliki karakteristik volatilitas yangberbeda. Saham BRIS menunjukkan volatilitas tertinggi, sedangkan sahamBUKA memiliki volatilitas paling rend

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Colin, Simanjuntak Ronald, and Febrio Nathan Kacaribu. "Pengaruh Volatilitas Makroekonomi terhadap Alokasi Kredit Bank." Jurnal Ekonomi dan Pembangunan Indonesia 21, no. 2 (2021): 257–76. http://dx.doi.org/10.21002/jepi.v21i2.1311.

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This study discusses the impact of macroeconomic volatility on bank credit allocation. The hypothesis built that macroeconomic volatility will influence banks to careful in issuing new loans. This study uses panel data with a sample of 10 banks using Baum model. This study uses the macroeconomic volatility as bebast variables. This study uses a generalized method of moment regression test to examine the relationship between dependent and bebast variables. The results of this study indicate negative relationship between inflation volatility and volatility in GDP growth with lending, whereas the

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Astuti, Tri, Sri Ambarwati, and Myranda Shavira. "DETERMINAN VOLATILITAS HARGA SAHAM." RELEVAN : Jurnal Riset Akuntansi 1, no. 2 (2021): 73–82. http://dx.doi.org/10.35814/relevan.v1i2.2262.

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Penelitian ini bertujuan untuk menguji secara empiris pengaruh kebijakan dividend, leverage, ukuran perusahaan, dan earning volatility terhadap volatilitas harga saham pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia selama 2016-2018. Sampel diperoleh menggunakan metode sampel purposive sampling. Sampel yang digunakan dalam penelitian ini sebanyak 18 perusahaan manufaktur. Penelitian ini dilakukan dengan menggunakan analisis regresi linear berganda. Berdasarkan hasil uji t, kebijakan dividend dan leverage tidak berpengaruh pada volatilitas harga saham, ukuran perusahaan berpen

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Ayuning Putri, Anisa Ferata. "FAKTOR-FAKTOR PENENTU VOLATILITAS HARGA SAHAM SEKTOR PERUSAHAAN PROPERTI, REAL ESTATE DAN BUILDING CONSTRUCTION." Jurnal Akuntansi dan Keuangan 8, no. 2 (2020): 109. http://dx.doi.org/10.29103/jak.v8i2.2563.

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Abstrak : Tujuan dari riset ini adalah untuk melihat pengaruh Devidend Payout Ratio, Devidend Yield, Earning Volatility, Pertumbuhan Aset, Leverage, Ukuran Perusahaan dan Blockholders terhadap Volatilitas Harga Saham. Pada penelitian ini akan menggunakan data laporan Perusahaan Lembaga Keuangan dari Bursa Efek Indonesia (BEI) selama periode 2016-2018 dengan populasi sebanyak 201 perusahaan metode purposive sampling digunakan untuk memperoleh sampel selama 3 tahun sebayak 36 perusahaan. Data penelitian ini di analisis menggunaka analisis regresi linier berganda. Hasil analisis ditemukan bahwa D

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Nectar Dewa Fajar. "MENGUNGKAP KETERKAITAN VOLATILITAS INFLASI DAN FLUKTUASI HARGA SAHAM UNITED TRACTORS (UNTR) TAHUN 2009-2018." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 5 (2024): 2. https://doi.org/10.17977/um066v4i52024p2.

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Abstrak Penelitian ini menganalisis hubungan antara volatilitas inflasi dengan volatilitas harga saham United Tractors (UNTR) selama periode 2009-2018. Dengan menggunakan metode kuantitatif, penelitian ini mengukur standar deviasi sebagai indikator volatilitas untuk kedua variabel. Uji korelasi Pearson menunjukkan bahwa terdapat hubungan positif antara volatilitas inflasi dan volatilitas harga saham UNTR, meskipun dengan tingkat hubungan yang lemah. Hasil ini menunjukkan bahwa kenaikan inflasi sebesar 1% berpotensi meningkatkan harga saham UNTR sebesar 0,311%. Temuan ini menyoroti pentingnya p

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Fordian, Dian, Mohammad Benny Alexandri, Suryanto Suryanto, and Suhal Kusairi. "PENGARUH VARIABEL MAKROEKONOMI DAN COVID-19 TERHADAP VOLATILITAS RETURN SAHAM DI BURSA EFEK INDONESIA PERIODE MARET 2017 – APRIL 2023." AdBispreneur 9, no. 1 (2025): 13–29. https://doi.org/10.24198/adbispreneur.v9i1.50743.

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Volatility in the form of fluctuations in the returns of a security or portfolio in a certain period predicts risk. Volatility prediction has an essential influence on investment decision-making. This study aims to determine and study the impact of macroeconomic variables and COVID-19 on the volatility of stock returns on the Indonesia Stock Exchange (IDX). This study used a quantitative approach. The data used is monthly data from January 2017 to April 2023. The data analysis method uses multiple linear regression. Macroeconomic variables, namely interest rates, exchange rates, inflation, and

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Ferina, Mahmudah Wulan, and Sunarto Sunarto. "Pengaruh Kebijakan Dividen, Leverage, Volume Perdagangan Saham Terhadap Volatilitas Harga Saham." Journal of Economic, Bussines and Accounting (COSTING) 7, no. 3 (2024): 4154–61. http://dx.doi.org/10.31539/costing.v7i3.8632.

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The difference in a company's share price over a certain period of time is known as volatility of share price. A company's volatility is a mirroring of the opportunities and dangers that investors may face. Investors need to pay attention to indicators such as number of trades, leverage, and dividend policy which can impact share price volatility. This research purposes to look at the variables that effected the level of stock price volatility. Issuers listed on the BEI LQ45 index in 2018-2022 are the research population. Purposive sampling was applied to select the research sample with 168 is

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Danial, Rahmadiva Dianitha, and Brady Rikumahu. "PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH." Jurnal Riset Akuntansi dan Keuangan 14, no. 2 (2019): 95. http://dx.doi.org/10.21460/jrak.2018.142.327.

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Penelitian ini bertujuan untuk menguji pengaruh volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data dianalisis dengan model GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan

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Hidayati, Nurul, and Puji Sucia Sukmaningrum. "FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX." Jurnal Ekonomi Syariah Teori dan Terapan 8, no. 6 (2021): 706. http://dx.doi.org/10.20473/vol8iss20216pp706-713.

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ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif

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Keanu Damara. "GEJOLAK FLUKTUATIF SAHAM INDF PADA ERA PRA DAN PASCA COVID-19 AKIBAT INFLASI YANG MELAMBUNG TINGGI TAHUN 2019-2024." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 6 (2024): 4. https://doi.org/10.17977/um066v4i62024p4.

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Penelitian ini bertujuan untuk menganalisis korelasi antara volatilitas hargasaham dan volatilitas inflasi. Data yang digunakan dalam penelitianmerupakan harga saham yang terdaftar dalam indeks LQ45, yaitu saham INDFserta inflasi tahun 2019 hingga 2024. Metode dalam penelitian ini merupakananalisis korelasi dengan pendekatan kuantatif. Hasil penelitian menunjukkanbahwa volatilitas harga saham dan inflasi memiliki korelasi. Nilai probabilitaskorelasi sebesar 0,0337 dengan koefisien korelasi sebesar -0.2618, sehinggadapat disimpulkan bahwa volatilitas harga saham dan volatiitas inflasimemiliki k

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Blanco, Belen. "Capturing the volatility smile: parametric volatility models versus stochastic volatility models." Public and Municipal Finance 5, no. 4 (2016): 15–22. http://dx.doi.org/10.21511/pmf.05(4).2016.02.

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Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility. However, instead of a flat implied volatility structure, implied volatility (inverting the Black-Scholes formula) shows a smile shape across strikes and time to maturity. This paper compares parametric volatility models with stochastic volatility models in capturing this volatility smile. Results show empirical evidence in favor of parametric volatility models. Keywords: smile volatility, para

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Mahatma, Yudi, and Ibnu Hadi. "Stochastic Volatility Estimation of Stock Prices using the Ensemble Kalman Filter." InPrime: Indonesian Journal of Pure and Applied Mathematics 3, no. 2 (2021): 136–43. http://dx.doi.org/10.15408/inprime.v3i2.20256.

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AbstractVolatility plays important role in options trading. In their seminal paper published in 1973, Black and Scholes assume that the stock price volatility, which is the underlying security volatility of a call option, is constant. But thereafter, researchers found that the return volatility was not constant but conditional to the information set available at the computation time. In this research, we improve a methodology to estimate volatility and interest rate using Ensemble Kalman Filter (EnKF). The price of call and put option used in the observation and the forecasting step of the EnK

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Saputra, Indra, and Mega Andani. "PENGARUH DIVIDEN PAYOUT RATIO DAN EARNING VOLATILITY TERHADAP VOLATILITAS HARGA SAHAM." Dinamika Ekonomi: Jurnal Ekonomi dan Bisnis 15, no. 2 (2022): 288–301. http://dx.doi.org/10.53651/jdeb.v15i2.402.

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Penelitian ini bertujuan untuk mengetahui dan menganalisis Dividen Payout Ratio dan Earning Volatility terhadap Volatilitas Harga Saham pada perusahaan Manufaktur yang terdaftar di BEI Tahun 2018-2020. Metode Penelitian yang digunakan kuantitatif. Populasi Penelitian berjumlah 156 perusahaan manufaktur. Pengambilan sampel penelitian ini menggunakan metode purposive sampling berjumlah 27 Perusahaan Manufaktur. Hasil penelitian menunjukkan bahwa Dividen payout berpengaruh terhadap volatilitas harga saham pada perusahaan sektor manufaktur yang terdaftar di Bursa Efek Indonesia tahun 2018-2020. Ea

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Nugrahapsari, Rizka Amalia, and Idha Widi Arsanti. "Analisis Volatilitas Harga Cabai Keriting di Indonesia dengan Pendekatan ARCH GARCH." Jurnal Agro Ekonomi 36, no. 1 (2018): 25. http://dx.doi.org/10.21082/jae.v36n1.2018.25-37.

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<strong>English</strong><br />Chili includes a strategic commodity in Indonesia because of its high price volatility that makes it a major determinant of national inflation dynamics. The government always tries to improve its capability in implementing the chili price stabilization policy. The objective of the study is to assess the volatility of curly chili price volatility in Indonesia by using the ARCH GARCH approach with daily price data of January 2011 to December 2015. The results showed that the right model to calculate chili price volatility is ARCH (1). The price vol

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Pujiyanti, Dwi Herlina, Intan Puspitasari, and Mahendra Galih Prasaja. "PENGARUH FREKUENSI PERDAGANGAN, VOLUME PERDAGANGAN, KEBIJAKAN DIVIDEN, EARNING VOLATILITY, DAN GROWTH IN ASSET TERHADAP VOLATILITAS HARGA SAHAM DENGAN INFLASI SEBAGAI PEMODERASI (Studi Empiris pada Perusahaan yang Terdaftar di Indeks PEFINDO25 Tahun 2022." Journal of Economic, Bussines and Accounting (COSTING) 7, no. 5 (2024): 4554–67. https://doi.org/10.31539/costing.v7i5.12357.

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Pasar modal merupakan suatu pasar keuangan untuk melakukan kegiatan investasi jangka panjang suatu perusahaan yang dapat diperjualbelikan dalam bentuk modal sendiri atau hutang yang berupa sekuritas atau lembar – lembar saham atau obligasi. Investor akan mengumpulkan informasi yang berhubungan dengan harga saham dan kinerja perusahaan sebelum melakukan investasi. Harga saham sensitif terhadap berbagai faktor seperti frekuensi perdagangan, volume perdagangan, kebijakan dividen, earning volatility, dan growth in asset yang dapat mempengaruhi perilaku investor an menyebabkan peningkatan volatilit

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Pírko, Štěpán. "Investice do volatility jako odpověď na nízké výnosy." Socio-Economic and Humanities Studies 7, no. 1 (2018): 125–38. http://dx.doi.org/10.61357/sehs.v7i1.74.

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Pokles úrokových sazeb na historicky nejnižší úrovně se během posledních let stal klíčovým problémem řady investorů. Jednou z alternativ, jak v takové nestandardní době dosahovat výnos, je využít investiční strategie orientované na obchodování s volatilitou. Řada publikovaných studií dokládá, že ceny opcí jsou dlouhodobě vyšší, než odpovídá skutečné volatilitě podkladových aktiv, zejména akciových indexů, což vytváří prostor pro dosažení zisku využitím opcí a dalších investičních nástrojů. Závěry studií, sestrojené indexy i skutečná výkonnost portfolií založených na výše uvedeném principu prok

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Afdil Malik Ibrohim, Darmansyah, and Muhammad Yusuf. "Persistensi Laba Dimediasi Corporate Social Responsibility Pada Perusahaan Manufaktur Sektor Insustri Konsumsi Makanan Dan Minuman Di Bursa Efek Indonesia." Jurnal Riset Akuntansi & Perpajakan (JRAP) 6, no. 02 (2019): 91–110. http://dx.doi.org/10.35838/jrap.2019.006.02.20.

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ABSTRACT This research is aimed to examine andfind out empirical evidence o f the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size, Corporate Social Responsibility (CSR) on earnings persistence and the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size on earnings persistence when mediated by Corporate Social Responsibility (CSR) in manufacturing companies consumer goods industry sectors food and beverages listed on the Indonesia Stock Exchange period 2011-2015. The sampling method used is purposive sampling, of the population of in manufac

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Afdil Malik Ibrohim, Darmansyah, and Muhammad Yusuf. "Persistensi Laba Dimediasi Corporate Social Responsibility Pada Perusahaan Manufaktur Sektor Insustri Konsumsi Makanan Dan Minuman Di Bursa Efek Indonesia." Jurnal Riset Akuntansi & Perpajakan (JRAP) 6, no. 02 (2019): 91–110. http://dx.doi.org/10.35838/jrap.v6i02.1248.

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ABSTRACT This research is aimed to examine andfind out empirical evidence o f the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size, Corporate Social Responsibility (CSR) on earnings persistence and the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size on earnings persistence when mediated by Corporate Social Responsibility (CSR) in manufacturing companies consumer goods industry sectors food and beverages listed on the Indonesia Stock Exchange period 2011-2015. The sampling method used is purposive sampling, of the population of in manufac

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Vahlevi, T. Muhd Redha, and Harjum Muharam. "Quantitative Easing Program and Financial Market Volatility in Indonesia." JEJAK 10, no. 1 (2017): 80–89. http://dx.doi.org/10.15294/jejak.v10i1.9128.

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This research aims to examine the impact of the USD money supply during and before quantitative easing program towards financial market volatility in Indonesia which is proxied by variance of financial market index such as IHSG, Gold Price in IDR, and Exchange Rate IDR/USD to find out the effect of the excess USD money supply on Indonesias financial market volatility. This reseacrh has used monthly time series data of M1 of USD, IHSG, IDR/USD Exchange Rate, and Gold Price from December 2008 to December 2013. TGACRH in this research is used to find out wheter the volatility or variance at previ

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Muhammad Hamzah Fatoni. "KETIKA INFLASI MENGGUNCANG PASAR SAHAM: STUDI KASUS DAN ANALISIS HARGA SAHAM TAMBANGRAYA MEGAH TBK (ITMG) TAHUN 2009-2018." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 7 (2024): 1. https://doi.org/10.17977/um066v4i72024p1.

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AbstrakPenelitian ini bertujuan untuk menganalisis pengaruh inflasi terhadap hargasaham Tambangraya Megah TBK (ITMG) yang terdaftar pada LQ45. Data hargasaham diukur dengan menggunakan nilai standar deviasi untuk mengevaluasivolatilitas, yang kemudian diuji korelasinya dengan volatilitas inflasi. Hasil ujinormalitas menunjukkan bahwa data harga saham terdistribusi normaldengan probabilitas sebesar 0,0560, yang lebih besar dari nilai signifikansi0,05. Uji korelasi Pearson menunjukkan tingkat signifikansi sebesar 0,0235,yang lebih kecil dari taraf signifikansi 0,05, dengan nilai koefisien korela

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Arizal nur firmansyah. "ANALISIS VOLATILITAS: IMPLIKASI SAHAM DEVIDEN UNTUK OPTIMISME PERTUMBUHAN EKONOMI." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 11 (2024): 2. https://doi.org/10.17977/um066v4i112024p2.

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AbstrakPenelitian ini menganalisis volatilitas harga saham lima perusahaan tambangbatu bara terkemuka di Indonesia, yaitu PT Bukit Asam Tbk (PTBA), BaramultiSuksessarana Tbk (BSSR), Indo Tambangraya Megah Tbk (ITMG), MitrabaraAdiperdana Tbk (MBAP), dan Golden Energy Mines Tbk (GEMS), selamaperiode Januari 2023 hingga Desember 2024. Tujuan utama penelitian iniadalah untuk memahami dinamika volatilitas dan implikasinya terhadapstrategi investasi. Metode penelitian menggunakan pendekatan kuantitatifdengan analisis data time series untuk menghitung standar deviasi sebagaiindikator volatilitas. Has

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Sari, Linda Karlina, Noer Azam Achsani, and Bagus Sartono. "Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia." Jurnal Ekonomi dan Pembangunan Indonesia 18, no. 1 (2017): 35–52. http://dx.doi.org/10.21002/jepi.v18i1.717.

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Modelling Volatility of Return Stock Index: Evidence from Asian CountriesVolatility is one of the interesting phenomenon in financial market; the reason is because of its eect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation i

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Renaldo, Nicholas, Jessylane Panggabean, Suhardjo Suhardjo, et al. "PROFITABILITY, TRADE VOLUME, AND LEVERAGE ON STOCK PRICE VOLATILITY WITH DIVIDEND POLICY AS A MODERATION VARIABLE IN LQ45 INDEXED COMPANIES." Kurs : Jurnal Akuntansi, Kewirausahaan dan Bisnis 9, no. 2 (2025): 231. https://doi.org/10.35145/kurs.v9i2.4787.

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Tujuan dari penelitian ini adalah untuk mengetahui pengaruh profitabilitas, volume perdagangan, dan leverage terhadap volatilitas harga saham dengan kebijakan dividen sebagai variabel moderasi. Populasi dalam penelitian ini adalah seluruh perusahaan yang terindeks dalam indeks LQ45 periode 2017-2021 sebanyak 45 perusahaan. Teknik pengambilan sampel digunakan dengan metode Purposive sampling. Jumlah sampel penelitian ini adalah 40 perusahaan yang memenuhi kriteria sampel. Teknik pengumpulan data menggunakan laporan keuangan tahunan perusahaan terindeks LQ45 periode 2017-2021, Sedangkan uji asum

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Ladya Aulia Paramitha. "TIRAI INFLASI; MEMBONGKAR MISTERI PERGERAKAN HARGA SAHAM HARUM ENERGY." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 9 (2024): 5. https://doi.org/10.17977/um066v4i92024p5.

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Penelitian ini bertujuan untuk menganalisis hubungan antara volatilitas inflasidan volatilitas harga saham HARUM ENERGY (HRUM) selama periode 2019-2024. Menggunakan pendekatan kuantitatif dan metode analisis korelasiPearson, studi ini menyelidiki pengaruh inflasi terhadap pergerakan hargasaham. Data sekunder diperoleh dari harga saham bulanan HRUM dan tingkatinflasi dari Bank Indonesia. Uji normalitas Jarque-Bera menunjukkan databerdistribusi normal dengan nilai probabilitas 0.102267. Hasil uji korelasiPearson mengungkapkan koefisien korelasi 0.322939 dengan probabilitas0.0083, menandakan adan

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Liu, Bingqi. "Volatility, Uncertainty, and Option Pricing." Advances in Economics, Management and Political Sciences 66, no. 1 (2024): 108–20. http://dx.doi.org/10.54254/2754-1169/66/20241213.

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Amidst global and Chinese uncertainties, this paper delves into stock market volatility and option pricing within the current economic policy context. Focusing on China's stock market, it calculates returns and volatility changes in key indices, analyzing differences among indices and funds, along with temporal variations. Shared data characteristics and reflections on new market trends emerge. Employing methods such as the GARCH model, Black-Scholes formula, and Monte Carlo algorithm, it analyzes volatility and option pricing using extensive annual and monthly data. Visualizations showcase ma

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Juwita*, Ratna, Dewi Melinia Ramadhani, and Anis Wahyu Intan Maris. "The Determinants of Cryptocurrency Returns." Jurnal Ilmu Keuangan dan Perbankan (JIKA) 12, no. 2 (2023): 235–46. http://dx.doi.org/10.34010/jika.v12i2.9461.

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This study examines the determinants of cryptocurrency returns, namely Trading Volume, Price Volatility, and Market Capitalization. This study uses Bitcoin, Ethereum, Tether, USD Coin, and BNB, which are the Top 5 largest Cryptocurrency Market Capitalizations in 2022. The testing method used in this study is a panel data regression analysis. The results of this study prove that Trading Volume and Price Volatility have a significant and positive effect on Cryptocurrency Returns. In contrast, Market Capitalization does not substantially impact Cryptocurrency Returns. If investors want to earn hi

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Setiawan, Rahmat, and Rr Alvita Aulia Nareswari. "Volatilitas Arus Kas terhadap Kredit Perdagangan dengan Ukuran Perusahaan sebagai Variabel Moderasi." MBIA 22, no. 3 (2023): 340–55. http://dx.doi.org/10.33557/mbia.v22i3.2489.

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This study aims to determine the effect of cash flow volatility on trade credit and whether firm size moderates the influence of cash flow volatility on trade credit. This study has a 129 sample with 589 observation manufacturing companies in Indonesia listed on the Indonesia Stock Exchange (IDX) in the 2016-2020 period. The sampling method used is purposive sampling, and the analytical method used is Multiple Linear Regression Analysis and Moderated Regression Analysis (MRA). The results of this study indicate that cash flow volatility has a significant negative effect on trade credit, and fi

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RAHAYUNI, IDA AYU EGA, KOMANG DHARMAWAN, and LUH PUTU IDA HARINI. "PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM." E-Jurnal Matematika 5, no. 1 (2016): 1. http://dx.doi.org/10.24843/mtk.2016.v05.i01.p113.

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Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the etimated volatility from a market mechanism that is considered as a reasonable way to assess the volatility's value. This study was aimed to compare the Newton-Raphson, Secant, and Bisection method, in estimating the stock volatility value of PT Telkom Indonesia Tbk (TLK). It found that the three methods have the same Implied Volatilities, whe

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Ardiansyah, Ivan, and Yuyun Isbanah. "ANALISIS PENGARUH DEVIDEN, PERTUMBUHAN ASET, UKURAN PERUSAHAAN, DAN LEVERAGE TERHADAP VOLATILITAS HARGA SAHAM." Jurnal Riset Akuntansi dan Keuangan 5, no. 3 (2017): 1565–74. https://doi.org/10.17509/jrak.v5i3.9227.

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Abstract. This study aims to analyze whether dividend, asset growth, firm size and leverage has to effect on stock price volatility at miscellaneous industry companies in Indonesia Stock Exchange. The population in this study is 42 companies in miscellaneous industry sector in 2013 - 2015. The sampling method used in this reason was purposive sampling which resulted 14 companies. Data analyzed using multiple regressions in SPSS application 23. The result of this research showed that dividend payout ratio has positive effect to stock price volatility. The Company that has the ability to pay hig

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DAGO, Guéby Joseph, and Abdourahmane DIAW. "Qualité des institutions et volatilité des investissements directs étrangers en Afrique subsaharienne." Revue d’Economie Théorique et Appliquée 8, no. 1 (2018): 53–70. https://doi.org/10.62519/reta.v8n1a4.

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Résumé : Cet article étudie l’impact de la qualité des institutions sur la volatilité des investissements directs étrangers (IDE) dans 39 pays d’Afrique subsaharienne. Il utilise un modèle estimé en données de panel par les méthodes des moments généralisés en système (GMM-S) et des doubles moindres carrés (DMC) sur la période 2000-2015. Les résultats montrent que la mauvaise qualité du service public et la liberté d’expression sont associées à une augmentation de la volatilité des entrées des IDE. En revanche, l’État de droit produit l’effet inverse. Mots clés : Investissements directs étrange

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Khairiyah, Marsella, and Sri Trisnaningsih. "Pengaruh Kinerja Keuangan, Earning Volatility, Dan Growth Opportunity Terhadap Volatilitas Harga Saham (Studi Empiris Perusahaan Sektor Energi Yang Terdaftar Di BEI Tahun 2019-2022)." Journal of Economic, Bussines and Accounting (COSTING) 7, no. 4 (2024): 9720–28. http://dx.doi.org/10.31539/costing.v7i4.9865.

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Penelitian dilakukan dengan tujuan menemukan pengaruh kinerja keuangan, earning volatility, dan growth opportunity pada volatilitas harga saham. Penelitian ini didasarkan pada analisis laporan keuangan tahunan perusahaan energi di BEI selama kurun waktu 2019-2022. Dalam penelitian ini, 18 perusahaan dipilih dengan teknik purposive sampling, menghasilkan 72 sampel observasi. Hipotesis penelitian ini diverifikasi melalui analisis regresi linear berganda dengan bantuan program SPSS versi 26. Penelitian ini mengemukakan bhawa kinerja keuangan berdampak negatif dan growth opportunity berdampak posi

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Dewi, Cynthia Sari. "PENGARUH DIVIDEND YIELD, EARNING VOLATILITY DAN LEVERAGE TERHADAP STOCK PRICE VOLATILITY PADA SEKTOR PERTAMBANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2015 - 2018." Ultima Management : Jurnal Ilmu Manajemen 11, no. 1 (2020): 27–38. http://dx.doi.org/10.31937/manajemen.v11i1.1233.

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Penelitian ini bertujuan untuk mengetahui factor dominan yag mempengaruhi volatilitas harga saham pada sector pertambangan yang terdaftar di Bursa efek Indonesia. Selama periode 2015 hingga 2018. Jenis penelitian ini adalah studi kausalitas dengan menggunakan data kuantitatif. Data yang digunakan dalam penelitian ini adalah laporan keuangan yang telah diaudit dan dipublikasikan melalui situs web perusahaan. Teknik pengambilan sampel yang digunakan adalah judgemental sampling. Variable independen dalam penelitian ini adalah dividend yield (DY), earning volatility (EV) dan Leverage (LEV) sedangk

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Suhendro, Suhendro, and Purnama Siddi. "VOLATILITY ANALYSIS USING THE EGARCH METHOD: CASE STUDY OF BBCA, BMRI, BRIS." Assets: Jurnal Akuntansi dan Pendidikan 13, no. 1 (2024): 1–14. http://dx.doi.org/10.25273/jap.v13i1.18492.

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ABSTRACTThis study aimed to test the volatility model of BBCA and BMRI stocks on the IDX. The research problem is whether there is an influence of BBCA and LQ45 volatility on BMRI and vice versa. The study also tested whether BRIS's volatility was influenced by its majority shareholder, BMRI. The EGARCH model analyzed daily return data for 2015-2022 in bearish/bullish markets. The results showed that the data experienced heteroscedasticity problems, and the EGARCH Student's model was selected. The volatility of BBCA and BMRI returns does not affect each other but is influenced by LQ45 when bea

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Jaye, Nathan. "The Volatility of Volatility." CFA Institute Magazine 24, no. 5 (2013): 36–39. http://dx.doi.org/10.2469/cfm.v24.n5.11.

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Huang, Darien, Christian Schlag, Ivan Shaliastovich, and Julian Thimme. "Volatility-of-Volatility Risk." Journal of Financial and Quantitative Analysis 54, no. 6 (2018): 2423–52. http://dx.doi.org/10.1017/s0022109018001436.

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We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other. Delta-hedged index and VIX option returns are negative on average and are more negative for strategies that are more exposed to volatility and volatility-of-volatility risks. Further, volatility and volatility of volatility significantly negatively predict future delta-hedged option payoffs. Th

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Dumas, Bernard, and Elisa Luciano. "From volatility smiles to the volatility of volatility." Decisions in Economics and Finance 42, no. 2 (2019): 387–406. http://dx.doi.org/10.1007/s10203-019-00263-w.

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Acuña, Andrés, and Cristián Pinto. "Eficiencia del mercado accionario Chileno: un enfoque dinámico usando test de volatilidad." Lecturas de Economía, no. 70 (September 11, 2009): 39–61. http://dx.doi.org/10.17533/udea.le.n70a2254.

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En este artículo estudiamos la eficiencia del Mercado Accionario Chileno (MAC). Para su comprobación usamos un modelo de equilibrio parcial que representa la manera como se forma el precio de los activos financieros. Contrastamos la volatilidad observada en los precios de las acciones y la volatilidad esperada en un modelo de mercado accionario eficiente. El análisis estadístico comprende datos de frecuencia mensual de títulos transados en la Bolsa de Comercio de Santiago de Chile en el periodo 1987-2007. Utilizando tests de volatilidad, encontramos evidencia de exceso de volatilidad en los pr

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Sukmana, Samuel Yohanes. "Pengaruh share repurchase dan likuiditas terhadap volatilitas saham." Jurnal Manajemen Bisnis dan Kewirausahaan 7, no. 5 (2023): 1194–203. http://dx.doi.org/10.24912/jmbk.v7i5.23995.

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FSA oversees capital market regulations to maintain the stability of the Indonesian capital market, especially during unstable conditions, through a share repurchase policy. This study aims to analyze the relationship between share repurchase and liquidity on stock volatility. The research sample was selected using a purposive sampling technique, and 137 samples met the criteria. Data analysis was performed using multiple linear regression. The results of this study indicate that share repurchase has a significant negative effect on stock volatility, and liquidity has a significant positive ef

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Rømer, Sigurd Emil, and Rolf Poulsen. "How Does the Volatility of Volatility Depend on Volatility?" Risks 8, no. 2 (2020): 59. http://dx.doi.org/10.3390/risks8020059.

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We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model, albeit with an empirical autocorrelation function that one-factor diffusion models fail to capture at horizons above a few weeks. When studying option market behavior (in-sample pricing as well as out-of-sample pricing and hedging over the period 2004–2019), messages are mixed, but systematic, model-w

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Widodo, Purwanto. "Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange." Journal of Islamic Economics and Finance Studies 3, no. 1 (2022): 24. http://dx.doi.org/10.47700/jiefes.v3i1.4364.

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AbstractThe Islamic stock index is a composite index of Islamic stocks listed on the Indonesia Stock Exchange (IDX). Therefore, is expected to have low volatility and be resistant to a possible financial crisis. This study aims to see whether the volatility of the Islamic stock index is lower than the conventional stock index during the Covid-19 crisis. The data taken is daily stock closing data for JKSE and JII for the period March 1, 2020, to April 30, 2022, with a total of 532 observations. The model used is ARMA/ ARIMA which is then followed by the ARCH – GARCH volatility model. The result

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Yulia, Aida, and Ikramaturrabiah Ikramaturrabiah. "Pengaruh Internal Control, Volatilitas Saham, dan Volume Perdagangan Terhadap Bid-Ask Spread Pada Perusahaan yang Terdaftar dalam Indeks LQ45 Tahun 2011-2015." JURNAL PENDIDIKAN AKUNTANSI & KEUANGAN 6, no. 1 (2018): 1. http://dx.doi.org/10.17509/jpak.v6i1.15826.

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Abstract The purpose of this study is to examine the effect of internal control, stock volatility, and trading volume on bid-ask spread of companies listed in LQ45 index in the period of 2011 to 2015. Dependent variable used in this study is bid-ask spread, while independent variables used in this study are internal control, stock volatility, and trading volume. By using purposive sampling method, from 45 companies listed in LQ45 index, 16 companies are choosed as the sample in this study. The type of data used in this study is secondary data which are annual report and ICamel. Data is analyze

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Mukmin, Amirul, and Firmansyah Firmansyah. "ANALISIS PERBANDINGAN VOLATILITAS INDEKS HARGA SAHAM IHSG DAN JII." JURNAL EKONOMI DAN PERBANKAN SYARIAH 3, no. 1 (2020): 69–84. http://dx.doi.org/10.46899/jeps.v3i1.155.

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ABSTRAK: pasar modal syariah memiliki beberapa perbedaan dengankonvensional pada jenis jenis surat berharga dan tingkat risikonya. Saham adalah salah satu surat berharga yang memiliki risiko tinggi. Salah satu risiko yang ada adalah fluktuasi harga yang di kenal dengan volatilitas. Tujuan dari penelitian ini adalah membandingkan volatilitas risiko indek harga saham di Indonesia dengan metode GARCH. Data yang di gunakan adalah dari IHSG dan JII mulai dari 1 mei 2013 sampai 31 desember 2014. Penelitian ini menemukan bahwa volatilitas mempengaruhi IHSG dan JII. Hasil forecast variance menunjukan

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Ratu Tasya Alieska and Edi Sukarmanto. "Pengaruh Kepemilikan Institusional, Kepemilikan Manajerial terhadap Volatilitas Idiosinkratik Return Saham dan Asimetri Informasi Sebagai Variabel Moderating." Bandung Conference Series: Accountancy 4, no. 1 (2024): 167–77. http://dx.doi.org/10.29313/bcsa.v4i1.11180.

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Abstract. This study aims to determine the influence of institutional ownership, managerial ownership on idiosyncratic volatility of stock returns with information asymmetry as a moderation variable. In taking data, researchers use the purposive sampling method so as to obtain data in accordance with predetermined criteria. The sample used in this study was 64 manufacturing companies with an observation period from 2018-2022 so that 320 observations were obtained. The research method used is a verifiative method with a quantitative approach. Hypothesis testing is performed using multiple linea

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Ratu Tasya Alieska and Edi Sukarmanto. "Pengaruh Kepemilikan Institusional, Kepemilikan Manajerial terhadap Volatilitas Idiosinkratik Return Saham dan Asimetri Informasi sebagai Variabel Moderating." Bandung Conference Series: Business and Management 4, no. 1 (2024): 347–58. http://dx.doi.org/10.29313/bcsbm.v4i1.10950.

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Abstract. This study aims to determine the influence of institutional ownership, managerial ownership on idiosyncratic volatility of stock returns with information asymmetry as a moderation variable. In taking data, researchers use the purposive sampling method so as to obtain data in accordance with predetermined criteria. The sample used in this study was 64 manufacturing companies with an observation period from 2018-2022 so that 320 observations were obtained. The research method used is a verifiative method with a quantitative approach. Hypothesis testing is performed using multiple linea

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Figo Aditriya Pangestu. "ANALISIS MAKROEKONOMI DAN VOLATILITAS SAHAM LQ45: STUDI PADA XL AXIATA, BANK NEGARA INDONESIA, GUDANG GARAM, DAN SIDO MUNCUL DI ERA OPTIMISME 8 PERSEN." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 11 (2024): 4. https://doi.org/10.17977/um066v4i112024p4.

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Penelitian ini menganalisis volatilitas saham pada perusahaan yang tergabungdalam indeks LQ45, yaitu XL Axiata, Bank Negara Indonesia, Gudang Garam,dan Sido Muncul, selama periode Agustus 2022 hingga Juli 2024. Hasilmenunjukkan adanya variasi signifikan dalam tingkat volatilitas di antaraperusahaan-perusahaan tersebut, dengan Gudang Garam mencatatkanvolatilitas tertinggi dan Sido Muncul yang paling stabil. Analisis jugamengungkapkan bahwa harga minyak mentah dan harga emas memilikipengaruh signifikan terhadap volatilitas saham, sementara IndeksKetidakpastian Kebijakan Ekonomi Global (GEPU Inde

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Lovita, Ajeng, and Anggana Lisiantara. "Pengaruh Volatilitas Arus Kas, Volatilitas Penjualan, Book Tax Difference, Tingkat Hutang Dan Kepemilikan Institusional Terhadap Persistensi Laba." JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha 14, no. 04 (2023): 1068–80. http://dx.doi.org/10.23887/jimat.v14i04.58221.

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Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas arus kas, volatilitas penjualan, book tax difference, tingkat hutang dan kepemilikan institusional terhadap persistensi laba. Persistensi laba didefinisikan sebagai laba yang dapat digunakan sebagai indikator laba di masa yang akan datang, dengan kata lain persistensi yaitu kemampuan laba suatu perusahaan untuk bertahan di masa depan. Variabel dependen yang digunakan dalam penelitian ini adalah persistensi laba pada tahun pengamatan 2019-2021 Populasi pada penelitian ini adalah 155 perusahaan manufaktur yang terdaftar di Bursa Ef

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Hao, Miao, Rong Chen, and Xinhong Fu. "Effect of Pig Price Volatility on Sichuan Pig Farmers’ Behavioral Response in China." Journal of Agricultural Science 6, no. 4 (2014): 55. http://dx.doi.org/10.5539/jas.v6n4p55.

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This study aims to analyze cobweb phenomenon of pig price volatility and its effects on pig producers in Sichuan, China. Historical data showed that pig price from 2000 to 2003 pertained to Occlude Cobweb Phenomenon; while pig price from 2004 to 2012 pertained to Divergent Cobweb Phenomenon. Based on Cobweb Phenomenon this article provided a comparative analysis of pig price volatility’s effects on scattered farmers, scale farmers and pig factories via examining their basic information, response to price volatility, reasons leading to such response, and price expectation. The results indicated

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Corsi, Fulvio, Stefan Mittnik, Christian Pigorsch, and Uta Pigorsch. "The Volatility of Realized Volatility." Econometric Reviews 27, no. 1-3 (2008): 46–78. http://dx.doi.org/10.1080/07474930701853616.

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Hsu, Stephen D. H., and Brian M. Murray. "On the volatility of volatility." Physica A: Statistical Mechanics and its Applications 380 (July 2007): 366–76. http://dx.doi.org/10.1016/j.physa.2007.02.041.

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Nainggolan, Wanri, Nelson Nainggolan, and Hanny A. H. Komalig. "Analisis Volatilitas Harga Eceran Komoditas Beberapa Pangan Utama di Kota Manado Menggunakan Model ARCH." Jurnal MIPA 7, no. 2 (2018): 6. http://dx.doi.org/10.35799/jm.7.2.2018.20617.

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Konsumsi bahan pangan utama seperti cabai rawit merah dan tomat apel selalu menjadi sorotan bagi kalangan masyarakat, hal ini disebabkan oleh harga yang tidak tetap dan selalu berfluktuasi pada setiap periode. Besaran perubahan harga yang menunjukkan fluktuasi pasar dalam satu periode waktu ( volatilitas ) merupakan gambaran seberapa besar resiko yang akan dihadapipara pelaku ekonomi pada masa yang akan datang. Volatilitas dalam penelitian ini dibangun menggunakan modelAutoregressive Conditional Heteroskedasticit (ARCH). Tujuan dari penelitian ini adalah untuk menentukan volatilitas harga ecer

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