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Perdana Wahyu Santoso
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Computer Science & IT Decision Sciences, Operations Research & Management

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PROBABILITY OF PRICE REVERSAL AND INTRADAY TRADING ACTIVITY ON TICK SIZE-25 AT INDONESIA STOCK EXCHANGE Santoso, Perdana Wahyu
Jurnal Manajemen Teknologi Vol 10, No 3 2011
Publisher : SBM ITB

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Abstract

In this paper, I examine the probability of price reversal and the relationship with intraday trading activity in market microstructure context, focusing specifically on interrelate with stock's return, trading volume, frequency of transaction, volatility and liquidity on high tick size (IDR25).This research use purposive random sampling to get some observed samples and data online capturing. Trading fraction of tick-by-tick of trading activity is 15 minutes. To determine price reversal probability, I employ multiple logisticregressions in high frequency data. The conclusion of this research finds that stock's return, trading volume (V), frequency of transaction (F) and proxy V/F affect significantly on probability of price reversal on information uncertainty condition. These are substantial findings of intraday trading activity and overreaction concept at Indonesia Stock Exchange.Keywords: probability, reversal, intraday, trading, IDX. 
Do Foreign Firms Bring Value to Emerging Country? Johan, Suwinto; Siregar, Hermanto; Santoso, Perdana Wahyu; Maulana, Tubagus Nur Ahmad
Jurnal Manajemen Teknologi Vol 11, No 3 (2012)
Publisher : SBM ITB

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Abstract. The aim of the paper is to study the value created by foreign firms in Indonesia finance company industry over the period 2001-2011. We analysed the value creation of foreign firms by comparing the key financial performance to local shareholders. Foreign firms are the major players in banking industry and automotive industry with market share more than 90% in both 2 wheeler and 4 wheeler. Meanwhile, the automotive manufacturers and dealers are the one who provide the products of financing for finance company. We analysed 7 micro key financial ratios (profitability, efficiency, growth, firm size, liquidity, solvency and asset quality). We use non parametric Mann Whitney and parametric panel data dummy regression. The empirical results show that finance companies owned by foreign firms are more efficient, lower in profitability, bigger in size, higher in growth capability, lower in liquidity and higher in solvency.
Co-Authors Hermanto Siregar Suwinto Johan Tubagus Nur Ahmad Maulana