Pengujian hubungan komponen Bid-Ask Spread dan Trade Size pada Order-Driven Market di Bursa Efek Jakarta

DEWANTO, Masagung, Prof.Dr. Marwan Asri, MBA

2004 | Tesis | S2 Manajemen

Penelitian ini melakukan dekomposisi komponen-komponen bid-ask spread dan menguji hubungan antara komponen-komponen bid-ask spread tersebut dengan trade size di Bursa Efek Jakarta. Penelitian ini mengestimasi rata-rata komponen adverse selection sebesar 21,8% dari effective spread, dan mengestimasi rata-rata komponen order processing sebesar 33,8% dari effective spread. Penelitian ini juga menemukan bahwa di BEJ order beli (jual) cenderung mengikuti order beli (jual) dengan probabilitas order persistence sebesar 72%. Hasil Penelitian ini juga menunjukkan bahwa adverse selection cost dan order processing cost berhubungan negatif dengan trade size. Terakhir, order persistence berhubungan negatif dengan trade size.

This research decomposed the components of bid-ask spread and examined the relationship between the components and trade size on Jakarta Stock Exchange. The research estimate mean of adverse selection component 21,8% of effective spread, and estimate mean of order processing component 33,8% of effective spread. The research find that, on JSX, buy (sell) orders tend to follow buy (sell) orders with probability of order persistence 72%. The results show that adverse selection cost and order processing cost negatively correlated with trade size. Finally, order persistence negatively correlated with trade size.

Kata Kunci : Pasar Modal,Bid,Ask Spread dan Trade Size, adverse selection, order processing, order persistence, trade size, orderdriven market, and effective spread