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THE LIQUIDITY AND INFORMATIONAL EFFICIENCY IN STOCK AND BOND MARKET

Jurnal Keuangan dan Perbankan, Volume 15, Nomor 3, September 2011
Journal from JIPTUNMERPP / 2012-06-22 10:51:49
Oleh : Dewi Tamara, Diploma 3 of Finance and Banking Merdeka University Malang (jurkubank@yahoo.com)
Dibuat : 2011-09-01, dengan 0 file

Keyword : Liquidity, informational efficiency, stock, bond, assetÂ’s prices

This paper was taking a first step toward an integrated approach to stock and bond liquidity and informational efficiency. We drew from the literature to develop comprehensive understanding about liquidity and information event in stock and bonds market. We used variables from Chordia, et al. (2005), to explore cross-market liquidity dynamics by estimating a vector regressive model for liquidity such as bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets. We analyzed the work from Hotchkiss, et al. (2002) to find the informational efficiency of corporate bond prices. It was similar to that of the underlying stocks. The central contribution of this paper was to reveal the possibility in applying this kind of research in Indonesian market.

Deskripsi Alternatif :

This paper was taking a first step toward an integrated approach to stock and bond liquidity and informational efficiency. We drew from the literature to develop comprehensive understanding about liquidity and information event in stock and bonds market. We used variables from Chordia, et al. (2005), to explore cross-market liquidity dynamics by estimating a vector regressive model for liquidity such as bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets. We analyzed the work from Hotchkiss, et al. (2002) to find the informational efficiency of corporate bond prices. It was similar to that of the underlying stocks. The central contribution of this paper was to reveal the possibility in applying this kind of research in Indonesian market.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiDiploma 3 of Finance and Banking Merdeka University Malang
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.