ANALISIS KOMPARATIF VOLATILITAS RETURN DAN PENGARUHNYA TERHADAP RETURN SAHAM BLUE CHIP DAN NON BLUE CHIP

Abstract

This study aims to analyze differences in return volatility between blue-chip stocks, represented by the LQ45 Index, and non blue chip stocks, represented by the IDX-SMC Liquid Index, as well as to examine the effect of volatility on returns in both groups. The data used consist of daily closing prices for the period 2020–2025, which are transformed into returns and then modeled using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach to obtain conditional variance (σ²ₜ) as a measure of volatility. The volatility comparison between the two indices is tested using the MannWhitney U Test. The analysis of the effect of volatility on returns is conducted through regression by including σ²ₜ as an independent variable. The results show that the IDX-SMC Liquid index exhibits a statistically significantly higher level of return volatility compared to the LQ45 index. Furthermore, the regression results indicate that return volatility has a negative but statistically insignificant effect on the T+1 period returns of the LQ45 index, while it has a positive but statistically insignificant effect on the T+1 period returns of the IDX-SMC Liquid index.