Analisis Spillover Dengan Metode VAR Pada Volatilitas, Return, dan Likuiditas Saham Perbankan di Indonesia

Abstract

This study aims to analyze the spillover that occurs between interrelated market microstructure variables, namely Volatility, Return, and Liquidity of banking stocks in Indonesia during the period 2021-2023.

The type of research used is descriptive research with a quantitative approach. The study population includes 49 banking companies in Indonesia with a sample of 37 banking companies selected using the purposive sampling method, with the criteria that the banking companies have been go public and have daily historical data related to stock prices and stock turnover from 2021 to 2023. The stocks are then grouped into two portfolios based on market capitalization. This study uses secondary data in the form of time series obtained through the Yahoo Finance website with an analysis method using the Vector Autoregression (VAR) model.

The results of the study indicate that there is no one-way spillover between the Return of large-cap stocks and the Volatility of small-cap stocks, as well as between the Liquidity of large-cap stocks and the Volatility of small-cap stocks in banking in Indonesia. In addition, there is no two-way spillover between the Return of large-cap stocks and the Liquidity of small-cap stocks, or between the Return of large-cap stocks and the Return of small-cap stocks. However, this study found a one-way spillover from the Return of small-cap stocks to the Liquidity of small-cap stocks. Then there is a two-way spillover between the Volatility of large-cap stocks and the Volatility of small-cap stocks in banking in Indonesia.