Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX)
32 Pages Posted: 3 May 2013
Date Written: May 2, 2013
Abstract
We study the liquidity premium persistence in the Indonesia Stock Exchange employing Liu (2006) liquidity measure, LMx from 2006 to 2010. This research attempts to reveal the liquidity premium dynamics during the tranquil and volatile period in the Indonesia Stock Exchange. It is found that the liquidity premium exist only in the short period during 2008 crisis. The remaining period under investigation fails to provide significant evidence of liquidity premium in the Indonesia Stock Exchange.
Keywords: liquidity premium, stock market, emerging stock market, Indonesia Stock Exchange
JEL Classification: G12
Suggested Citation: Suggested Citation