Pengaruh Tingkat Bunga terhadap Volatility Return Saham dan Asimetri Good News-Bad News pada Jakarta Islamic Index (JII) dan Bank Komersial

Abstract

The aim of the research is to reveal differences in response to the interest rate effect on stock return and it’s volatility between the companies included of Jakarta Islamic Index (JII) and commercial banks listed on the Indonesia Stock Exchange, and analyze the asymmetry of good news and bad news, upon the effect of interest rates changes on stock return. This study use daily data on stock prices and interest rates. Data processing apllied econometric analysis completed by using EGARCH. The samples were based on companies that have the same date stock transaction that occurred during the years 2006-2009. In JII data collected as much as 1.932 while the commercial bank amounted to 2.898. The results stated that the effect of stock return volatility and variance of stock return is positive and significant in both groups of banks and JII. But the influence of interest rates on stock return in the two groups was not significant. Related to the asymetricity, in Bank group the result showed that the asymetricity of good news and bad news for interest rate changes on stock returns were significant, while int the group of JII was not significant.