Risk Premium and Volatility Analysis on Indonesia Stock Exchange

Authors

  • Syanindita Prameswari Universitas Trisakti Jakarta, Indonesia
  • Adler Haymans Manurung Universitas Bhayangkara Jaya Jakarta, Indonesia

DOI:

https://doi.org/10.59141/jist.v5i4.1035

Keywords:

Risk Premium, Market volatility, Stock Indices

Abstract

Market risk premium and market volatility are important in investment decisions. Volatility is an important variable in derivative securities which is a measure of changes in stock returns. The research focuses on stock return volatility, research that points to a risk premium in emerging markets. The purpose of this study is to explain the relationship between market equity premium and volatility using GARCH (1.1) on the Indonesia Stock Exchange. This research uses daily closing price data of the Indonesia Stock Exchange Composite Index (JCI). The result of this study, that there is a relationship between risk premium and volatility in the Indonesian stock market. The conclusion of this study is to try to test whether there is a relationship from the volatility of return to risk premium in the Indonesian stock market. Using the daily trend of the Indonesian stock market (IDX) from January 2010 to September 2023.

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Published

2024-04-30

How to Cite

Prameswari, S., & Manurung, A. H. (2024). Risk Premium and Volatility Analysis on Indonesia Stock Exchange. Jurnal Indonesia Sosial Teknologi, 5(4), 1798–1805. https://doi.org/10.59141/jist.v5i4.1035

Issue

Vol. 5 No. 4 (2024): Jurnal Indonesia Sosial Teknologi

Section

Articles

License

Copyright (c) 2024 Syanindita Prameswari, Adler Haymans Manurung

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