Portofolio VaR dan Likuiditas Saham


This paper examines the effects of liquidity on stock and portfolio risk measure by Value at Risk (VaR). Using daily stock return and firm market capitalization, empirical calculation confirmed that VaR not yet succeeded to prove pattern of relation between risk and liquidity both in level stock individually and portfolio. This study also clarified that portfolio stock diversification yet achieve risk reduce. 

Silahkan download disini JAM Vol 21 No 2 Ags 2010 VALUE AT RISK PORTOFOLIO DAN LIKUIDITAS SAHAM


Pasaribu, Rowland Bismark Fernando. 2010. Portofolio VaR dan Likuiditas SahamJurnal Akuntansi dan Manajemen, Vol. 21, No. 2: 105-127.

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