Muhammad Zikra Mustinovan, - (2023) PENGARUH ANTARA SHORT SELLING DAN VOLATILITAS HARGA SAHAM MENGGUNAKAN MODEL PANEL VECTOR AUTOREGRESSION (PVAR): Studi pada Perusahaan yang Terdaftar di National Association of Securities Dealers Automated Quotations Periode Juni 2021-Mei 2023. S1 thesis, Universitas Pendidikan Indonesia.
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Abstract
Penelitian ini bertujuan untuk mengidentifikasi serta menganalisis pengaruh antara short selling dan volatilitas harga saham pada perusahaan yang terdaftar di National Association of Securities Dealers Automated Quotations (NASDAQ) dalam rentang waktu Juni 2021 hingga Mei 2023. Metode yang diterapkan adalah metode Panel Vector Autoregression (PVAR) yang bertujuan untuk menggali hubungan timbal balik antara variabel-variabel dalam data runtun waktu. Penelitian ini memfokuskan pada perusahaan-perusahaan terdaftar di NASDAQ, dengan menggunakan data sekunder yang diperoleh dari laporan Short Interest dan Advanced Charting yang disediakan oleh situs NASDAQ. Pemilihan sampel dilakukan dengan metode Slovin, di mana penelitian ini mencakup 358 perusahaan dalam analisisnya. Hasil dari analisis data mengindikasikan adanya hubungan timbal balik (bidirectional causality) antara aktivitas short selling dan volatilitas harga saham. Selain itu, analisis Impulse Response juga menggambarkan respon positif antara pergerakan short selling dan volatilitas harga saham. This research aims to investigate and analyze the influence between short selling and stock price volatility in companies listed on the National Association of Securities Dealers Automated Quotations (NASDAQ) within the period of June 2021 to May 2023. The employed methodology is the Panel Vector Autoregression (PVAR) method, which seeks to uncover the bidirectional relationships among variables in a time series data. The study focuses on NASDAQ-listed companies, utilizing secondary data sourced from Short Interest and Advanced Charting reports available on the NASDAQ website. The sample selection employs the Slovin method, where this research encompasses 358 companies in its analysis. The results of the data analysis reveal the presence of bidirectional causality between short selling activity and stock price volatility. Furthermore, impulse response analysis also illustrates a positive response between short selling movements and stock price volatility.
| Item Type: | Thesis (S1) |
|---|---|
| Additional Information: | ID SINTA Dosen Pembimbing Denny Andriana: 5996554 |
| Uncontrolled Keywords: | Short Selling, Volatilitas Harga Saham, Vector Autoregression (VAR), Data Panel, NASDAQ |
| Subjects: | H Social Sciences > HF Commerce H Social Sciences > HF Commerce > HF5601 Accounting L Education > L Education (General) |
| Divisions: | Fakultas Pendidikan Ekonomi dan Bisnis > Akuntansi (non kependidikan) |
| Depositing User: | Muhammad Zikra Mustinovan |
| Date Deposited: | 18 Oct 2023 04:39 |
| Last Modified: | 18 Oct 2023 04:39 |
| URI: | http://repository.upi.edu/id/eprint/110988 |
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