Trading Activity as a Liquidity Measure In Indonesia Stock Exchanges
- Resource Type
- Authors
- Rachmat Sudarsono; Dian Masyita; Ina Primiana; Erna Garnia
- Source
- Proceedings of the International Conference on Economics and Banking 2015.
- Subject
- Open outcry
Financial economics
Stock exchange
Stock market
Flash trading
Business
Monetary economics
Algorithmic trading
High-frequency trading
computer.software_genre
computer
Market maker
Market liquidity
- Language
- ISSN
- 2352-5428
Trading activity that is indicated by the trading volume or the turnover is the measures of stock market liquidity. This paper presents a theoretical and empirical investigation of the relation between return and trading activity. As a consequence of clientele effect that relating the holding period and bid-ask spread, this paper shows that relation between return per unit price per unit time and trading activity, has a concave form similar as the relation between return per unit price per unit time and bid-ask spread. Based on the monthly data from Indonesia Stock Exchange for the period of 2008-2013, the proposed concept has been validated.