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Journal : Indonesian Capital Market Review

Trading Friction and Spread Decomposition in Indonesian Stock Exchange Nurhayati, Immas; Ekaputra, Irwan Adi; Husodo, Zäafri Ananto
The Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

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.
Co-Authors A. Mubarok A. Rahmat Rosyadi Abdul Azis Abdul Azis Abdul Hudri Abdul Karim Halim Achmad Yusuf Madani Agung, Syahrum Ahmad Fahmi Barhoya Ahmad Suryaman Alya Hasanah Kurniawati Amelia indriyanti Rusmaniar Aminda, Renea Shinta Andini Fajriani Anesti Iswandira Anggi Novita sari Anggie Berlianto Arizal Tursina Asti Priyanti Atika Atika Bahagia . Budi Susetyo Budi Susetyo Cicih Sukarsih Danil Dwi Prayitno Deddy Rachmadi Desti Nurrahmawati Deti Anggraeni Diah Yudawati Diah Yudhawati Dini Anggraini Dini Yupitasari Ecin Kuraesin Edi Sutoyo Elsya Azkiyathul Fangiziah Fauzan Azhari Finna Octaviani Fitri Senja Puspa Ayu Hablinur Alkindi halim, Abdul Karim Hasna`u Mayang Sari Hasna`u Mayang Sari Husodo, Zaafri Ananto Ika Nur Holisah Ika Suartika Indu Purnahayu Indupurnahayu Indupurnahayu Inka Nandita Listianingrum Irwan Adi Ekaputra Kayla Suci Dinanty Latifatus Saidah Lestari Safitri Lisa Laelatul Amalia M. Hariansyah M. Rifqiyansyah F Maemunah Sa'diah Meliana Kumalasari Muhammad Hariansyah Muhammad Jamaluddin MUHAMMAD JAMALUDDIN Muhammad Ramadhan Muniroh, Leny Muniroh, Leny Nada Ilmanna Fiah Neli Paujiah Novan Mushaf Rivai Novita Sari Nur Arifah Nur Fitriani Putri Lestari Nurul Nurul Puspa Eosina Rachmatullaily Tina Kartika Rinda Rajip Bahar Rani Wardhania Rasiman Rasiman Ratu Andhita Trihadiyanti Renea Shina Aminda Renea Shinta Aminda Renea Shinta Aminda Renea Shinta Aminda Rifki Zainaldi Rimun Wibowo Rina Saidah Riris Aishah Prasetyowati Risma Khairunnisa Riviega Rosihan Silvia Ari Siti Aisyah Siti Zaenab Adnania Suci Yulyawati Suharti, Titing Suhendri Suhendri Supramono Supriadi, Dedi Syahrum Agung Syifa Cholillah Tia Amelia Titing Suharti Umi Sakinah Nasution Vivi Alda Indah Lubis Yuggo Afrianto Yuli Caturi Setiani Zaäfri Ananto Husodo