Evidence of price discovery on the Indonesian stock exchange

Susan Sunila Sharma and Kannan Thuraisamy and Muhammad Madyan and Nisful Laila (2019) Evidence of price discovery on the Indonesian stock exchange. Economic Modelling, 82. pp. 1-6. ISSN 0264-9993

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Abstract

The Indonesian stock market is emerging and very little is known about price discovery mechanisms. This paper addresses this research gap by compiling and utilizing a unique stock-level dataset (consisting of 342 stocks) to examine existence and behaviour of price discovery processes. Using the Indonesian sectoral spot price index, and the Bloomberg Markit iTraxx Asia and the CDX high yield index, we test for price discovery. Our findings suggest that pricing behaviour on Indonesian stock exchange is contributed by the credit risk market. We also note that our findings are robust to a different measure of credit risk.

Item Type: Article
Uncontrolled Keywords: Indonesia Stock market Credit risk Price discovery
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance
H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance.Corporation finance
H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: 04. Fakultas Ekonomi dan Bisnis > Manajemen
Creators:
CreatorsNIM/NIDN
Susan Sunila SharmaUNSPECIFIED
Kannan ThuraisamyUNSPECIFIED
Muhammad MadyanNIDN0004017104
Nisful LailaNIDN0007117101
Depositing User: Tn Sugeng Riyanto
Date Deposited: 19 Nov 2019 03:19
Last Modified: 13 Dec 2019 08:30
URI: http://repository.unair.ac.id/id/eprint/91083
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