Perdagangan berbasis informasi dan noise volume transaksi investor asing dan domestik, dan volatilitas pasar di Bursa Efek Jakarta sejak liberalisasi pasar
Yohanes Ricky Dwi Budi H. (Adv. Dr. Jogiyanto HM., MBA.), Dr. Jogiyanto HM., MBA.
2013 | Tesis | S2 Management-
The main concern of the study is the potential impact of market liberalization on market volatility. The Jakarta Stock Exchange\'s August 03, 1997, amendment of 49% maximum limit of foreign investors\' ownership of public companies\' stock was not followed by increasing market volatility. Decreasing foreign investors\' transaction volume while the domestic investors\' transaction volume increased, and the tendency of both types of investor to trade based on information, not on noise, produced a combined effect of a reduction in market volatility. There is no evidence of reverse-causality between transaction volume to market volatility as suggested by the efficient market hypothesis (Fama, 1971, 1990) and noise trading hypothesis (Kyle, 1985; Black, 1986) as the underlying theories of the study. Evidence of time-varying market volatility is also shown.
Kata Kunci : Market liberalization; Market volatility; 1nformation based trading; Noise trading; Causality.
