Analisis Keterkaitan Bid-Ask Spread, Volume Perdagangan, dan Return Saham (Studi Kasus : Financial Times and London Stock Exchange 100)

Abstract

The FTSE 100 index declined when the largest oil field in the North Sea London was closed. This study uses VAR models that use cross- examine the effect of trade variables. Variations in variable would appeared in trade shocks caused by the variable itself. Granger Causality used to find out bond trading between variables. It can be concluded that the only significant variable is that binds trading volume with the stock bid-ask spread. Risk calculation with a standard deviation method has also been carried out and concluded that offered little risk and stock returns will also be small.