Since 2014
Trading Friction and Spread Decomposition in Indonesian Stock Exchange
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
Trading Friction and Spread Decomposition in Indonesian Stock Exchange
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| Creator |
Immas Nurhayati; Faculty of Economic and Business, University of Ibnu Khaldun Bogor
Irwan Adi Ekaputra; Faculty of Economic and Business, University of Indonesian Zaäfri Ananto Husodo; Faculty of Economic and Business, University of Indonesia |
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| Subject |
Trading friction; Spread decomposition; High market capitalization; Frequently traded stock; Liquid stock
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| Description |
We examine the intraday trading and price change for frequently traded stocks in Indonesian Stock Exchange. Using bid and ask price, trade price, number of trade, trade volume, we estimate trading friction and spread decomposition. The objective of the estimation is to infer what is the biggest component of trading friction. The result of 50 most frequently traded stocks in the Indonesian Stock Exchange using trading friction estimator conclude that the average trading friction of high market capitalization and the most relatively liquid stocks, scattered in various fractions price is equal to 1% per year, and the highest trading frictions derived from the information and it is consistent with spread decomposition estimator.
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| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
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| Contributor |
—
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| Date |
2018-03-21
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/10825
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| Source |
Indonesian Capital Market Review; Vol 10, No 1 (2018): January 2018
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| Language |
en
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