The Effect of Illiquidity on Stock Return on the Indonesia Stock Exchange

摘要

This research is the development of research that has been done by Nanlohy et al. (2018). Nanlohy used the object of the Consumer Goods Sector Companies over the 2011-2015 period, while this study used the objects of all companies listed on the Indonesia Stock Exchange over the 2013-2017 period. The purpose of this study was to examine the effect of illiquidity and other stock characteristics, including size, beta, risk, and dividend yield on stock returns. Companies that met the criteria to be the object of research were 67 listed companies from 555 listed companies. The data used was panel data that was processed using multiple linear regression models with the help of Eviews 8. The results obtained from this study were liquidity had a significant negative effect, size had a significant positive effect, and risk had a significant positive effect. Whereas beta had no significant negative effect and dividend yield had no significant positive effect.