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
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: Suggested Citation