Free float, firm size, stock return, and stock market liquidity: Asymmetric information interaction
Keywords:
Asymmetric Information, Firm Size, Free Float, Liquidity, Stock MarketAbstract
This research was conducted to determine the effect of free float, firm size, and stock returns on liquidity in the stock market with information asymmetry as moderation. Quantitative research was based on panel data. The object of this research was companies included in the LQ45 index on the Indonesia Stock Exchange with an observation period of 2019-2023. This study applied the regression model equation test with Moderated Regression Analysis (MRA) analysis with Eviews 12 software. The results of this study found that free float and firm size had a significant negative effect on market liquidity, while stock return did not have a significant impact on stock market liquidity in LQ45. Information asymmetry in this study could not moderate the relationship between free float and stock return on liquidity. With the value of data, variation was found to have a wide range of values, which indicated that the variables are volatile.
References
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Danil, A., & Yusra, I. (2019). Pengaruh Kausal Antara Ukuran Perusahaan, Nilai Buku Dan Likuiditas Saham Di Bursa Efek Indonesia. 1–11.
Ding, X. S., Ni, Y., & Zhong, L. (2016). Free float and market liquidity around the world. Journal of Empirical Finance, 38(71303155), 236–257. https://doi.org/10.1016/j.jempfin.2016.07.002
Fadilla, M. Z., & Ismawati, L. (2021). Pengaruh Profitability, Leverage Dan Ukuran Perushaan Terhadap Pengembalian Saham Pada Perusahaan Pertambangan Sub-Sektor Batu Bara Yang Terdaftar Di Bursa Efek Indonesia (Bei) Periode 2014-2019. Journal of Economics, Management, Business and Accounting, 1(1), 63–72. https://doi.org/10.34010/jemba.v1i1.5020
Ferdila, F., Mustika, I., & Martina, S. (2023). Pengaruh Firm Size, Likuiditas, Leverage Dan Profitabilitas Terhadap Nilai Perusahaan Pada Perusahaan Manufaktur Sub Sektor Barang Konsumsi Yang Terdaftar Di Bursa Efek Indonesia. Owner, 7(4), 3274–3284. https://doi.org/10.33395/owner.v7i4.1883
Ismailsyah. (2020). Analisis Pengaruh Free Float Saham-Saham First Liner, Second Liner, dan Third Liner terhadap Likuiditas Saham. Jurnal Ilmiah Mahasiswa FEB, 9(1), 1–28.
Jadoon, U., Shah, S. Q., Iqbal, A., Raza, H., & Mubeen, M. (2024). Free Float and Stock Liquidity : Evidence from Pakistan Stock Exchange Research Journal for Societal Issues Free Float and Stock Liquidity : Evidence from Pakistan Stock Exchange. September. https://doi.org/10.56976/rjsi.v6i3.275
Jannah, W., & Faisal. (2019). Pengaruh Corporate Governance Terhadap Likuiditas Saham Di Indonesia. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen , 4(4), 672–684. http:jim.unsyiah.ac.id/ekm
Laksmiwati, M., Meidiyustiani, R., Oktaviani, R. F., & Priyanto, S. (2023). The Role of Dividend Policy as An Intervening of Financial Performance on Company Value. International Journal of Social Service and Research, 3(1), 170–180. https://doi.org/10.46799/ijssr.v3i1.234
Lam, K. S., Tam, L. H., & Dong, L. (2019). Liquidity and stock returns: evidence from the Chinese stock market. China Accounting and Finance …, December. https://www.researchgate.net/profile/Keith-Lam/publication/343713964_Liquidity_and_Stock_Returns_Evidence_from_the_Chinese_Stock_Market/links/61d2afb0e669ee0f5c8183f0/Liquidity-and-Stock-Returns-Evidence-from-the-Chinese-Stock-Market.pdf
Malini, H. (2024). Firm Size, Profitability, and ESG Disclosure in Indonesia: Geographical Location As Moderating Variable. International Journal of Economics Development Research, 5(2), 2024–2878.
Marozva, G. (2019). Liquidity And Stock Returns: New Evidence From Johannesburg Stock Exchange. Journal of Developing Areas, 53(2), 79–90. https://www.jstor.org/stable/26501907
Martysz, C. B. (2023). Free Float in the Polish Capital Market and Its Importance for Investors. Annales Universitatis Mariae Curie-Skłodowska, Sectio H – Oeconomia, 56(4), 83–106. https://doi.org/10.17951/h.2022.56.4.83-106
Michael C. Jensen, W. H. M. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305–360. https://doi.org/https://doi.org/10.1016/0304-405X(76)90026-X.
Mutira, P. (2019). Adakah Pengaruh Free Float Terhadap Pelaku Pasar Saham Di Indonesia? Jurnal Bisnis Dan Akuntansi, 21(1), 39–46. https://doi.org/10.34208/jba.v21i1.424
Nahdlah, Y. H., Fathoni, A. Z., & Hafiz, H. S. (2023). Pengaruh Asimetri Informasi, Ukuran Perusahaan dan Kinerja Perusahaan terhadap Praktik Manajemen Laba. Riset, Ekonomi, Akuntansi Dan Perpajakan (Rekan), 4(1), 15–30. https://doi.org/10.30812/rekan.v4i1.2754
Natsir, K., Bangun, N., & Waani, A. M. (2023). Analisis Faktor-Faktor yang Mempengaruhi Likuiditas Pasar Saham. Jurnal Ekonomi, 28(2), 155–176. https://doi.org/10.24912/je.v28i2.1414
Nurhaeda, A. (2019). Pengaruh Free Float Terhadap Likuiditas Saham Pada Perusahaan-Perusahaan Yang Tercatat Di Bursa Efek Indonesia. Tangible Journal, 4(2), 231–244. https://doi.org/10.47221/tangible.v4i2.81
Purwanto, E., & Purwanto, A. D. B. (2020). An investigative study on sustainable competitive advantage of manufacture companies in Indonesia. Business: Theory and Practice, 21(2), 633–642. https://doi.org/10.3846/btp.2020.12256
Puspitaningtyas, Z. (2019). Empirical evidence of market reactions based on signaling theory in Indonesia Stock Exchange. Investment Management and Financial Innovations, 16(2), 66–77. https://doi.org/10.21511/imfi.16(2).2019.06
Sanjaya, S., Parlindungan, Hidayat, R., Nainggolan, E. P., & Surna, G. (2023). Effect of Company Size and Profitability on Tax Aggressiveness Listed on The Indonesia Stock Exchange. Journal of Management Science (JMAS), 6(1), 15–19.
Sastri Melinda T. Putri. (2022). Analisis Pengaruh Free Float Terhadap Likuiditas Saham.
Satria, K., & Adnan. (2018). Analisis Peristiwa Stock Split Terhadap Harga Saham, Likuiditas Saham dan Abnormal Return (Studi Kasus Pada Perusahaan Manukfaktur Yang Terdaftar di Bursa Efek Indonesia Tahun 2011-2015). Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi (JIMEKA), 3(3), 364–384.
Sidhu, M. K. (2016). Corporate Governance and Stock Market Liquidity. Journal of Commerce and Accounting Research, 5(3), 2012. https://doi.org/10.21863/jcar/2016.5.3.033
Sugiantara, P. W. (2022). Analisis Perilaku Herding Berdasarkan Kondisi Pasar Dengan Asimetri Informasi Sebagai Variabel Pemoderasi. E-Jurnal Akuntansi, 32(3), 721. https://doi.org/10.24843/eja.2022.v32.i03.p13
Sundari Oktaviana, Adler Haymans Manurung, Wirawan Widjanarko, Muhammad Richo Rianto, & Jhonni Sinaga. (2024). Determinan Likuiditas Pasar di Bursa Efek Indonesia. MASMAN : Master Manajemen, 2(3), 47–60. https://doi.org/10.59603/masman.v2i3.443
Syaipul Malik Ibrahim, D. H. (2021). Penyebaran Kepemilikan, Likuiditas, Dan Nilai Perusahaan: Bukti Dari Indonesia. Jurnal Ilmiah Indonesia, 6(12), 6397–6407.
Viratama, D. I., Hasnawati, S., & Hendrawati, E. (2022). Free Float and Volatility Effect on Stock Liquidity in Indonesia Stock Exchange. Asian Journal of Economics, Business and Accounting, 22(23), 248–256. https://doi.org/10.9734/ajeba/2022/v22i23869
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Published
2025-01-07
How to Cite
Verawati, V., Mustika, U. N. ., & Mustaruddin, M. (2025). Free float, firm size, stock return, and stock market liquidity: Asymmetric information interaction . Journal of Management Science (JMAS), 8(1), 94–101. Retrieved from https://exsys.iocspublisher.org/index.php/JMAS/article/view/577
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