Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX)

32 Pages Posted: 3 May 2013

See all articles by Daniel Wojtyla

Daniel Wojtyla

Faculty of Economics University of Indonesia; Lembaga Pembiayaan Ekspor Indonesia (Indonesia Eximbank)

Zaäfri A. Husodo

Universitas Indonesia, Graduate School of Management

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

Situmorang, Daniel and Situmorang, Daniel and Husodo, Zaäfri A., Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX) (May 2, 2013). Available at SSRN: https://ssrn.com/abstract=2259389 or http://dx.doi.org/10.2139/ssrn.2259389

Daniel Situmorang

Faculty of Economics University of Indonesia ( email )

Kampus Baru
Depok, West Java 16424
Indonesia

Lembaga Pembiayaan Ekspor Indonesia (Indonesia Eximbank) ( email )

Indonesia Stock Exchange Building
Jl. Jend.Sudirman kav.52-53
Jakarta, DKI Jakarta 13230
Indonesia

Zaäfri A. Husodo (Contact Author)

Universitas Indonesia, Graduate School of Management ( email )

Depok, West Java 16424
Indonesia

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