Value at Risk - Portfolio: Dan Likuiditas Saham

Jurnal Akuntansi dan Manajemen, Vol. 21, No. 2, pp. 105-127, August 2010

37 Pages Posted: 18 May 2011 Last revised: 22 Nov 2017

See all articles by Rowland Bismark Pasaribu

Rowland Bismark Pasaribu

NAMOURA Research Institute; Gunadarma University

Date Written: August 4, 2010

Abstract

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculations confirmed that VaR has not yet succeeded to prove patterns of relation between risk and liquidity, both in individual stock levels and portfolios. This study also clarified that diversifying portfolio stocks have yet toachieve risk reduction

Note: Downloadable document is in Indonesian

Keywords: Value at Risk, Stock, Portfolio, Liquidity

JEL Classification: G11, G12, G14, G31

Suggested Citation

Pasaribu, Rowland Bismark, Value at Risk - Portfolio: Dan Likuiditas Saham (August 4, 2010). Jurnal Akuntansi dan Manajemen, Vol. 21, No. 2, pp. 105-127, August 2010 , Available at SSRN: https://ssrn.com/abstract=1837434

Rowland Bismark Pasaribu (Contact Author)

NAMOURA Research Institute ( email )

Jl. Komando III/2 No.37
Setiabudi
South Jakarta, DKI Jakarta 12920
Indonesia

Gunadarma University ( email )

Margonda Raya 100
Pondokcina, Depok
Jakarta, West Java 62-16424
Indonesia

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