• Tidak ada hasil yang ditemukan

NOISE AS THE IMPACT OF TRADING MECHANISM AND PERIODIC CLEARING PROCEDURES: SUBSTANTIVE EVIDENCE FROM INDONESIA STOCK EXCHANGE | Sumiyana | Journal of Indonesian Economy and Business 6334 10740 1 PB

N/A
N/A
Protected

Academic year: 2017

Membagikan "NOISE AS THE IMPACT OF TRADING MECHANISM AND PERIODIC CLEARING PROCEDURES: SUBSTANTIVE EVIDENCE FROM INDONESIA STOCK EXCHANGE | Sumiyana | Journal of Indonesian Economy and Business 6334 10740 1 PB"

Copied!
1
0
0

Teks penuh

(1)

Journal of Indonesian Economy and Business Volume 24, Number 1, 2009, 81 – 99

NOISE AS THE IMPACT OF TRADING MECHANISM AND

PERIODIC CLEARING PROCEDURES: SUBSTANTIVE

EVIDENCE FROM INDONESIA STOCK EXCHANGE

Sumiyana

Faculty of Economics and Business, Universitas Gadjah Mada (sumiyana@fe.ugm.ac.id)

ABSTRACT

Sumiyana (2007b) investigates that noises occurred in Indonesia Stock Exchange. Especially, Sumiyanas’ research concludes that noise over trading and nontrading period, along with overnight and lunch break nontrading session, and the first and second trading session, had occurred. However, Sumiyana’s research does not identify who are responsible for the noise. This research used intraday data in Indonesia Stock Exchange. Samples of the data are the firms consecutively listed in LQ 45 indexes for the year of 2004-2006.

This research attempts to identify who are responsible for the noise. This research studies effects of trading mechanism and clearing mechanism on the stock return behaviour. Finally, this research is enabling to differentiate the effect of trading mechanism from the effect of clearing mechanism. This research concludes that periodic clearing procedure at the beginning of the trading period is noisy. Therefore, this research suggests that trading mechanism in Indonesia Stock Exchange is inefficient. This research also hopefully recommends shifting from the periodic to continuous trading mechanism.

Referensi

Dokumen terkait

[r]

pemanfaatan peluang yang ada dengan cara meminimalkan kelemahan dalam organisasi. Dalam hal ini perlu dirancang strategi turn around yaitu strategi merubah haluan. Peluang

Banyumas diklaim memiliki susu yang baik dengan jumlah cemaran bakteri. dibawah 10 6 CFU/ml, akan tetapi tekadang susu yang didapat memiliki

[r]

Berdasarkan analisis yang dilakukan bahwa kebutuhan bahan untuk praktik kayu dalam satu semester dari sepuluh pokok pembahasan yang tercantum pada

[r]

Faktor-faktor tersebut tidak hanya menyangkut stabilitas politik dan sosial, tetapi juga stabilitas ekonomi, kondisi infrastruktur dasar (listrik, telekomunikasi dan

Langkah strategis Dinas Pendapatan Daerah Provinsi Kalimantan Selatan dalam reformasi pelayanan pembayaran pajak kendaraan bermotor (PKB) di Kota Banjarmasin ini