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All Journal Diponegoro Journal of Management JEJAK
Nurita Kusumastuti, Nurita
Faculty of Economic and Business, Diponegoro University,
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Liquidity Effects on the Simultaneity of Trading Volume and Order Imbalance Arfianto, Erman Denny; Kusumastuti, Nurita
JEJAK: Jurnal Ekonomi dan Kebijakan Vol 9, No 2 (2016): September 2016
Publisher : Semarang State University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/jejak.v9i2.7624

Abstract

The purpose of this research is to analyze the simultaneity between trading volume and order imbalance, the influence of past performance, market risk, market capitalization, tick size to the trading volume and the influence of tick size, depth and bid-ask spread to the order imbalance of companies that were listed on LQ 45 index. The samples in this research were selected by using the purposive sampling method with some selected criteria. Fifty-five companies listed on 2014’s LQ 45 index were chosen as the sample. The results showed that the trading volume is simultaneously related to the order imbalance; past performance, market risk, and market capitalization have the positive and significant effect to the trading volume; tick size has the negative and significant effect to the trading volume; the order imbalance has the negative and insignificant effect to the trading volume; tick size, depth, bid-ask spread, and trading volume have no significant effect to the order imbalance.
Liquidity Effects on the Simultaneity of Trading Volume and Order Imbalance Arfianto, Erman Denny; Kusumastuti, Nurita
JEJAK: Jurnal Ekonomi dan Kebijakan Vol 9, No 2 (2016): September 2016
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/jejak.v9i2.7624

Abstract

The purpose of this research is to analyze the simultaneity between trading volume and order imbalance, the influence of past performance, market risk, market capitalization, tick size to the trading volume and the influence of tick size, depth and bid-ask spread to the order imbalance of companies that were listed on LQ 45 index. The samples in this research were selected by using the purposive sampling method with some selected criteria. Fifty-five companies listed on 2014’s LQ 45 index were chosen as the sample. The results showed that the trading volume is simultaneously related to the order imbalance; past performance, market risk, and market capitalization have the positive and significant effect to the trading volume; tick size has the negative and significant effect to the trading volume; the order imbalance has the negative and insignificant effect to the trading volume; tick size, depth, bid-ask spread, and trading volume have no significant effect to the order imbalance.
Co-Authors Erman Denny Arfianto