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Nico Yopida
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Pengaruh Volume Perdagangan dan Retum terhadap Bid-Ask Spread Nico Yopida; Umi Murtini
Jurnal Riset Manajemen dan Bisnis Vol 2, No 2 (2007): Jurnal Riset Manjemen dan Bisnis
Publisher : Fakultas Bisnis UKDW

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21460/jrmb.2007.22.194

Abstract

Bid ask spread is afunction of three components which are; order processing, inventory holding, and informational asymmetry. Although holding cost and infurmational asymmetry can not be directly obsertted and needs a specific measurement, these two costs are interesting to be examined. The present paper aims to observe empirical evidences about the relationship between trade and return as a holding cost meaurernent for bid-ask spread. The samples are drawn -fro* companies listed on Jakarta Stock Exchange (JSE and included in rneasurement factors of ILQ-45 fro* January 2004 until December 2004. Using Error Correction Model (ECM), the result shows that the relationship between a trade volume series, return, and bid-ask spread are not either relatively or absolutely having a long-term equilibrium.Keywords : Bid-ask spread, return, statianary, co-integration.
Co-Authors Umi Murtini