Perdagangan Berbasis Informasi Dan Noise, Volume Transaksi Investor Asing Dan Domestik, Dan Volatilitas Pasar Di Bursa Efek Jakarta Sejak Liberalisasi Pasar

HARSONO, Yohanes Ricky Dwi Budi, Dr. Jogiyanto HM., MBA

2003 | Tesis | S2 Manajemen

Perhatian utama studi ini adalah potensi imbas liberalisasi pasar terhadap volatilitas pasar. Amandemen batasan maksimal 49% kepemilikan oleh investor asing atas saham perusahaan-perusahaan publik di Bursa Efek Jakarta, 03 Agustus 1997, tidak diikuti oleh peningkatan volatilitas pasar. Penurunan volume transaksi investor asing dan peningkatan volume transaksi investor domestik, serta kecenderungan kedua jenis investor untuk berdagang berdasarkan informasi dan bukan berdasarkan noise, menghasilkan dampak gabungan berupa reduksi volatilitas pasar. Seperti disugestikan oleh hipotesis pasar efisien (Fama, 1971, 1990) dan hipotesis noise trading (Kyle, 1985; Black, 1986), tidak ada bukti mengenai reverse-causality volume transaksi ke volatilitas pasar. Bukti mengenai volatilitas pasar yang bervariasi mengikuti waktu juga dikemukakan

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 increasing, 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. As suggested by the efficient market hypothesis (Fama, 1971, 1990) and noise trading hypothesis (Kyle, 1985; Black, 1986), the underlying theories of the study, there is no evidence of reverse-causality between transaction volume to market volatility. evidence of time-varying market volatility is also shown.

Kata Kunci : Liberalisasi Pasar BEJ,Perdagangan Berbasis Informasi dan Noise, Market liberalization; Market Volatility; Information-based trading; Noise trading; Causality