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Article

Open Access

Liquidity and Volatility on Indonesia Stock Exchange (IDX): An Evidence of JSX and SSX Merger

Author(s)

Luluk Kholisoh

Full-Text PDF Download XML 1166 Views

DOI:10.17265/2328-7144/2017.05.012

Affiliation(s)

STIE Nusa Megarkencana,Yogyakarta, Indonesia

ABSTRACT

At the end of November 2007, Jakarta Stock Exchange (JSX) and Surabaya Stock Exchange (SSX) have announced their merger into Indonesia Stock Exchange (IDX) and it was applied on 1st December 2007. The merger would surely have positive impacts on the Indonesian capital market. As for importance of research in stocks’ behavior, this study makes a first-pass attempt to provide an analysis of the impact of Indonesia capital market merger on liquidity especially on the level of firms’ stock. This research used more than 350,000 intraday transactions data of 45 liquid stocks as LQ45. One statistical test, the parametric paired t-test is used to test whether the changes in the variables from pre and post of the merger are significant. The result shows no significant effect of merger on stock behavior in IDX, especially in the term of liquidity. The result contradicts from the theoretical wisdom and empirical research which suggests the capital market merger affects the stocks’ performance positively, especially in liquidity in the level of the stock.

KEYWORDS

market microstructure, liquidity, volatility, merger

Cite this paper

Economics World, Sep.-Oct. 2017, Vol. 5, No. 5, 492-498 doi: 10.17265/2328-7144/2017.05.012

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