The Effect of Bid Ask Spread, Market Value and Risk Of Return on the Holding Period of LQ45 Stocks on the Indonesia Stock Exchange

  • Tio Winda Sitompul Universitas Sumatera Utara
Keywords: Bid ask spread, market value, Risk of return, Holding period


The purpose of this study is to investigate and to analyze the effect of the bid ask spread, market value, and the risk of return to the holding period LQ45 in Indonesia Stock Exchange Period February 2008 to January 2012.  Secondary data collection is done by recording the closing price, the number of shares outstanding, trading volume, bid price, ask price and download financial statements published by the Indonesia Stock Exchange and quoted from a written source that is used as a theoretical basis. The analytical method used was multiple linear regression analysis. This research samples using 76 companies listed in the index always LQ45. The results showed that the bid ask spread, market value, and the risk of return simultaneously effect holding period for shares with a significance level (α= 5%). Partially, the bid ask spread and market value and no significant positive effect on the holding period return while the risk of a negative and significant effect on the holding period LQ45 in Indonesia Stock Exchange Period February 2008 to January 2012.


Download data is not yet available.


Amatullah, N., Setyadani, N. A., & Ramadhanty, S. (2020). The Extension of the Special Business Mining License (IUPK) under The Law No. 3 of 2020 of the Coal and Mineral Mining: Pro or Cons?. LEGAL BRIEF, 10(1), 39–49

Abreu, M., & Mendes, V. (2010). Financial literacy and portfolio diversification. Quantitative Finance, 10(5), 515–528.

Aftab, M., Shah, Z. A., & Sheikh, R. A. (2012). Holding periods, illiquidity and disposition effect in a developing economy. Business and Economics Research Journal, 3(1), 17.

Avadhani, V. A. (2009). Securities analysis and portfolio management. Himalaya Publishing House.

Bansal, R., & Khanna, A. (2013). Vector auto-regressive analysis of determinants of IPO underpricing: Empirical evidence from Bombay stock exchange. Global Business Review, 14(4), 651–689.

Bergek, A., Mignon, I., & Sundberg, G. (2013). Who invests in renewable electricity production? Empirical evidence and suggestions for further research. Energy Policy, 56, 568–581.

Camerer, C. F. (2011). CHAPTER FIVE. Prospect Theory in the Wild: Evidence from the Field. In Advances in behavioral economics (pp. 148–161). Princeton University Press.

Chater, N., Huck, S., & Inderst, R. (2010). Consumer decision-making in retail investment services: A behavioural economics perspective. Report to the European Commission/SANCO.

Damodaran, A. (2012). Investment valuation: Tools and techniques for determining the value of any asset (Vol. 666). John Wiley & Sons.

Drake, M. S., Rees, L., & Swanson, E. P. (2011). Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short sellers. The Accounting Review, 86(1), 101–130.

Einiö, M., Kaustia, M., & Puttonen, V. (2008). Price setting and the reluctance to realize losses in apartment markets. Journal of Economic Psychology, 29(1), 19–34.

Ewah, S. O. E., Esang, A. E., & Bassey, J. U. (2009). Appraisal of capital market efficiency on economic growth in Nigeria. International Journal of Business and Management, 4(12), 219–225.

Fabozzi, F. J., & Markowitz, H. M. (2011). The theory and practice of investment management: Asset allocation, valuation, portfolio construction, and strategies (Vol. 198). John Wiley & Sons.

Feldstein, M., & Bacchetta, P. (2009). 7. National Saving and International Investment. University of Chicago press.

Floros, I. V, & Sapp, T. R. A. (2011). Shell games: On the value of shell companies. Journal of Corporate Finance, 17(4), 850–867.

Hutton, A. P., Lee, L. F., & Shu, S. Z. (2012). Do managers always know better? The relative accuracy of management and analyst forecasts. Journal of Accounting Research, 50(5), 1217–1244.

Hartati, S. (2021). The Concept of Populist Economy based on Transcendental Law. LEGAL BRIEF, 10(2), 131–139.

Ibrahim, D. M. (2008). The (not so) puzzling behavior of angel investors. Vand. L. Rev., 61, 1405.

Ilmanen, A. (2011). Expected returns: An investor’s guide to harvesting market rewards. John Wiley & Sons.

Malkiel, B. G. (2011). The efficient-market hypothesis and the financial crisis. Rethinking Finance: Perspectives on the Crisis (Proceedings of a Conference). Russel Sage Foundation.

Mutswenje, V. S. (2009). A survey of the factors influencing investment decisions: the case of individual investors at the NSE. University of Nairobi.

Öztek, M. F. (2013). Modeling co-movements among financial markets: applications of multivariate autoregressive conditional heteroscedasticity with smooth transitions in conditional correlations.

Reilly, F. K., & Brown, K. C. (2011). Investment Analysis and Portfolio Management (Text Only). Cengage Learning.

Riwayati, H. E., Prihatini, T., Hadinugroho, L., Hadiyati, P., & Subardjo, E. (2013). ANALYZING OF FACTORS THAT AFFECTS BANKING SECTOR SHARES HOLDING PERIOD.

Sahlman, W. A., & Stevenson, H. H. (1985). Capital market myopia. Journal of Business Venturing, 1(1), 7–30.

Santosa, P. W., & Laksana, H. Y. (2011). Value at risk, market risk and trading activity: CAPM alternative model. Journal of Applied Finance and Banking, 1(4), 239.

Seasholes, M. S., & Zhu, N. (2010). Individual investors and local bias. The Journal of Finance, 65(5), 1987–2010.

Sukmana, D. M. (2020). Juridical Review of the Balance of Position of the Parties in the Micro Business Credit Agreement. LEGAL BRIEF, 9(2, May), 92–97

Skreta, V., & Veldkamp, L. (2009). Ratings shopping and asset complexity: A theory of ratings inflation. Journal of Monetary Economics, 56(5), 678–695.

Swensen, D. F. (2009). Pioneering portfolio management: An unconventional approach to institutional investment, fully revised and updated. Simon and Schuster.

Van Greuning, H., & Iqbal, Z. (2008). Risk analysis for Islamic banks. World Bank Publications.

Veld, C., & Veld-Merkoulova, Y. V. (2008). The risk perceptions of individual investors. Journal of Economic Psychology, 29(2), 226–252.

E. S. Ginting, “Ratio-Based Financial Performance Analysis of PT. Mustika Ratu, Tbk”, enrichment, vol. 11, no. 2, pp. 456-462, 2021.

Ginting, E. S., Apren Halomoan Hutasoit, & Naca Warsinangin. (2021). North Sumatra Economic Growth Analysis. Jurnal Mantik, 5(1), 184-190.

Ginting, E. S. ., Lubis, T. W. H. ., & Pertiwi, S. . (2021). Kiat Menghadapi Tantangan Pembelajaran Daring Di Masa Pandemi Covid-19. TRIDARMA: Pengabdian Kepada Masyarakat (PkM), 4(1), 35-43. Retrieved from

Ginting, E. S., & Apren Halomoan Hutasoit. (2021). Understanding the Use of Information Technology as a Supporting Media for Student Learning at SMK Negeri 1 Lubuk Pakam. Jurnal Mantik, 4(4), 2449-2452.


How to Cite
Sitompul, T. W. (2021). The Effect of Bid Ask Spread, Market Value and Risk Of Return on the Holding Period of LQ45 Stocks on the Indonesia Stock Exchange. Journal of Management Science (JMAS), 4(2), 53-63.