Autokorelasi Silang Return Saham Perusahaan Besar dan Perusahaan Kecil di Bursa Efek Jakarta
The results of this study: First, lagged large firm return granger cause to current small firm returns. Thus, lagged large firm returns contain predictive power over current small firm reÂ¬turns. Second, size based portfolio return cross-autocorrelations is significantly different in up and down markets but there is no directional asymmetry. Third, cross-autocorrelations coefficient is significantly different when portfolio returns become more synchronous. Fourth small firm returns autocorrelations have no effect significantly to the returns cross-autocorrelations. Fifth, small firm respond common information much more slowly than large firm. This study also finds that small firm responds good news much more slowly than large firm but respond bad news without a delay.
Metrics powered by PLOS ALM
ISSN 1410-2420 (print), 2528-6528 (online)
Published by Accounting Department, Faculty of Economics, Islamic University of Indonesia and Supported by IAI-KAPd (Ikatan Akuntan Indonesia - Kompartemen Akuntan Pendidik)
JAAI pada http://journal.uii.ac.id/index.php/JAAI/ terlisensi oleh Creative Commons Attribution 4.0 International License.