Tabiat Hubungan Kadar Faedah, Volum Dagangan dan Pulangan Sebelum dan Selepas Kejatuhan Pasaran Tahun 1997 di Bursa Saham Kuala Lumpur

Zaidi Isa, Rubayah Yakob

Abstract


Many researchers have tried to prove the relationship between volume, stock return and interest rates. Knowledge regarding the relationship between these three variables are important for investors, since the information obtained would guide them in their tnvestment strategies whenever there are changes in these variables. In this study, the asymmetrical relationship between stock return and volume was examined and the influence of interest rates on volume was investigated. The results obtained proved the existence of the asymmetrical relationship between volume and stock return, tn which. positive returns had more effect on volume compared to negative returns. In addition, volume was also found to be significantly influenced by interest rates, while the direction of the relationship would depend on the economic situation, l.e before and after economic downturn.


ABSTRAK
Ramai penyelidik terdahulu telah cuba untuk membuktikan perhubungan antara volum dagangan, pulangan sa ham dan kadar faedah. Pengetahuan mengenai perhubungan antara ketiga-tiga pembolehubali ini penting kepada para pelabur kerana dengan adanya maklumat tru mudahlah para pelabur mengatur strategi pelaburan mereka jika berlakunya perubahan ke atas salah satu daripada ketiga-tiga pembolehubah tersebut. Di dalam kajian itu, hubungan tidak simetri antara pulangan saham dan volum dagangan diselidiki dan pengaruh kadar faedah terhadap volum dagangan juga diuji keberertiannya dengan mengambilkira keadaan ekonomi yang berbeza. Hasil yang diperolehi membuktikan bahawa hubungan tidak simetri memang wujud antara volum dagangan dan pulangan saham, di mana pulangan positif akan memberikan kesan yang lebih besar ke atas volum dagangan berbanding dengan kesan negatif (pada magnitud pulangan yang sama). Di samping itu, kadar faedah didapati signifikan dalam mempengaruhi volum dagangan. Walau bagaimanapun, arah hubungan yang wujud berbeza bergantung kepada keadaan ekonomi sebelum dan selepas kejatuhan pasaran.


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