新冠肺炎大流行背景下特异性风险与流动性对股票收益的影响

Proceedings of International Conference on Economics Business and Government Challenges Pub Date : 2022-08-15 DOI:10.33005/ic-ebgc.v1i1.8

Pandya Dhira, Buddi Wibowo

{"title":"新冠肺炎大流行背景下特异性风险与流动性对股票收益的影响","authors":"Pandya Dhira, Buddi Wibowo","doi":"10.33005/ic-ebgc.v1i1.8","DOIUrl":null,"url":null,"abstract":"This research aimed to determine the effect of idiosyncratic risk and stock liquidity on stock returns before and during the Covid-19 pandemic. Sample of this research are 26 companies that consecutively listed on LQ45 index through the year of 2017-2021. By using panel data regression method, it was found that idiosyncratic risk partially did not have significant effect on stock returns, while liquidity had significant effect on stock returns. This study also found that idiosyncratic risk and liquidity simultaneously have significant effect on stock returns. The result showed that in Covid-19 pandemic phenomenon, internal factors, especially idiosyncratic risk and liquidity have significant effect on stock returns. \nKeywords: Idiosyncratic risk; Liquidity; Stock returns; Pandemic Covid-19.","PeriodicalId":158530,"journal":{"name":"Proceedings of International Conference on Economics Business and Government Challenges","volume":"3 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Relationship of Idiosyncratic Risk and Liquidity on Stock Return in Covid-19 Pandemic\",\"authors\":\"Pandya Dhira, Buddi Wibowo\",\"doi\":\"10.33005/ic-ebgc.v1i1.8\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This research aimed to determine the effect of idiosyncratic risk and stock liquidity on stock returns before and during the Covid-19 pandemic. Sample of this research are 26 companies that consecutively listed on LQ45 index through the year of 2017-2021. By using panel data regression method, it was found that idiosyncratic risk partially did not have significant effect on stock returns, while liquidity had significant effect on stock returns. This study also found that idiosyncratic risk and liquidity simultaneously have significant effect on stock returns. The result showed that in Covid-19 pandemic phenomenon, internal factors, especially idiosyncratic risk and liquidity have significant effect on stock returns. \\nKeywords: Idiosyncratic risk; Liquidity; Stock returns; Pandemic Covid-19.\",\"PeriodicalId\":158530,\"journal\":{\"name\":\"Proceedings of International Conference on Economics Business and Government Challenges\",\"volume\":\"3 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-08-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Proceedings of International Conference on Economics Business and Government Challenges\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.33005/ic-ebgc.v1i1.8\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of International Conference on Economics Business and Government Challenges","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33005/ic-ebgc.v1i1.8","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本研究旨在确定在Covid-19大流行之前和期间，特殊风险和股票流动性对股票回报的影响。本研究样本为2017-2021年间连续在LQ45指数上市的26家公司。通过面板数据回归方法发现，特质风险部分对股票收益影响不显著，而流动性对股票收益影响显著。本研究亦发现特质风险与流动性同时对股票收益有显著影响。结果表明，在新冠肺炎大流行现象中，内部因素，特别是特质风险和流动性对股票收益的影响显著。关键词:特质风险;流动性;股票收益;大流行Covid-19。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The Relationship of Idiosyncratic Risk and Liquidity on Stock Return in Covid-19 Pandemic

This research aimed to determine the effect of idiosyncratic risk and stock liquidity on stock returns before and during the Covid-19 pandemic. Sample of this research are 26 companies that consecutively listed on LQ45 index through the year of 2017-2021. By using panel data regression method, it was found that idiosyncratic risk partially did not have significant effect on stock returns, while liquidity had significant effect on stock returns. This study also found that idiosyncratic risk and liquidity simultaneously have significant effect on stock returns. The result showed that in Covid-19 pandemic phenomenon, internal factors, especially idiosyncratic risk and liquidity have significant effect on stock returns. Keywords: Idiosyncratic risk; Liquidity; Stock returns; Pandemic Covid-19.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Proceedings of International Conference on Economics Business and Government Challenges

自引率

0.00%

发文量