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"Tujuan utama tesis ini adalah untuk mengetahui pola perdagangan saham intrahari ditinjau dari return dan volatilitasnya, mengetahui adanya day of the week effect dan time of the day effect serta melihat perbedaan return antar hari perdagangan dan antar interval waktu 30 menit pada 5 fraksi perdagangan di Bursa Efek Indonesia. Hasil penelitian ini menunjukkan bahwa return kelima kelompok fraksi perdagangan membentuk kurva yang tidak seragam. Return kelompok fraksi perdagangan Rp1 membentuk kurva W, kelompok fraksi perdagangan Rp5, Rp10 dan Rp25 membentuk kurva J sedangkan kelompok fraksi perdagangan Rp50 membentuk kurva U. Ditinjau dari volatilitasnya, kelima kelompok fraksi perdagangan membentuk kurva yang sama yaitu kurva U. Dengan adanya perbedaan pola perdagangan ini maka investor dapat menetapkan strategi investasi yang tepat yaitu waktu terbaik untuk melakukan transaksi (buy/sell) dan kelompok fraksi saham yang direkomendasi dan yang dihindari. Selain itu penelitian ini juga membuktikan adanya pengaruh signifikan dari pergerakan return saham baik berdasarkan periode hari maupun interval waktu 30 menit terhadap return saham. Dengan demikian hal ini membuktikan adanya day of the week effect dan time of the day effect pada semua kelompok fraksi perdagangan. Penelitian ini juga membuktikan adanya perbedaan return yang signifikan baik antar hari perdagangan maupun antar interval waktu 30 menit.

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The main objective of this thesis is to determine stocks Intraday trading patterns in terms of returns and volatility by examining the day of the week effect and time of the day effect as well as investigating the return difference among trading days and among interval of 30 minutes for 5 fractions of trading in the Indonesia Stock Exchange.

The results indicate the return curves of the five trade fractions group are not similar. The returns of trade fraction group Rp1 form W-curve, trade faction group Rp5, Rp10 and Rp25 form J-curve, while trade fraction group Rp50 form the U-curve. However, the volatility of the five groups forms identical curve that is U-curve. By taking into account the differences in the pattern of trade, investor can determine proper investment strategy that is the best time to do the transaction (buy/sell) and the fraction of shares that are recommended and which to avoid.

In addition, this study demonstrates the existence of significant influence from either the movement of stock returns based on the period of the day and 30-minute intervals of stock return. Thus, the evidence supports the existence of day of the week effect and time of the day effect on all groups of trading fraction. The findings show the existence of significant return differences either between day trading and inter-interval time of 30 minutes."

"ABSTRAKPenelitian ini memeriksa hubungan cross-sectional antara turnover shock saham di sesi perdangangan pasca-penutupan IDX dan efisiensi harga pembukaan. Hasil penelitian menemukan adanya pelemahan efisiensi harga pembukaan pada transaksi pembuka. Hal ini konsisten dengan resiko information asymmetry. Penelitian ini juga mendukung argumen bahwa resiko information asymmetry tidak berkaitan dengan market friction walaupun kedua faktor tersebut behubungan dengan mikrostruktur harga aset dan bahwa ketersediaan opening call auction pada saham-saham paling liquid mungkin tidak meningkatkan efisiensi harga pembukaan saham-saham tersebut.

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ABSTRACT

This paper examines cross-sectional relationship between stocks? magnitude of turnover shock in IDX post-close trading session and their price efficiency in the opening. The result confims that the shock is significantly decreasing opening price effeciency in the opening trade. This finding is consistent with information asymmetry risk. Additionally, this research confirms that information asymmetry risk is unrelated to market friction although both of them are related to microstructure asset pricing and that availability of opening call auction in stocks with highest liquidity may not improve their opening price."

"The aim of this study is to develop a new liquidity measurement. The mechanical approach is usedto measure the liquidity. This study uses trade order base that is more pronounced than conventionalones. To confirm the result of this study, we use pre opening session in the term of event as Kholisohand Hermawati (2010) and Kholisoh (2011). This study collects trade base and order base intradaydata one month period before and after pre opening session was implemented with the 25 most activestocks in LQ45. This study examines the velocity (how fast the order is executed) as new liquiditymeasurement. The result of this study confirms Kholisoh (2011), but contradicts to Kholisoh and Hermawati(2010) in the same event. The use of ?velocity? as a metric of liquidity measurement is betterin understanding the theoretical wisdom. This new liquidity measurement can cover the speed of theorder to be executed in all capital market."

"Penelitian ini bertujuan untuk mengidentifikasi pengaruh capital expenditures terhadap likuiditas saham pada perusahaan ndash; perusahaan non-bank dan non-keuangan yang terdaftar di Bursa Efek Indonesia periode 2010-2015. Penelitian ini menggunakan Amihud daily illiquidity measure sebagai proksi dari likuiditas saham. Dengan menggunakan analisis data panel, hasil penelitian ini menunjukkan bahwa Capital expenditures berpengaruh negatif signifikan terhadap illikuiditas Amihud saham perusahaan. Hal tersebut menunjukkan bahwa apabila perusahaan meningkatkan aktivitas capital expenditures, maka perusahaan tersebut akan mengalami peningkatan likuiditas dari sahamnya.

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This study aims to identify the effect of Capital expenditures on stock liquidity on non bank and non financial companies listed on the Indonesia Stock Exchange period 2010 2015. This study uses Amihud daily illiquidity measure as a proxy of stock liquidity. By using panel data analysis, the results of this study indicate that Capital expenditures have a significant negative effect on the company 39 s Amihud illiquidity measure. It shows that if the company increases the activity of capital expenditures, then the company rsquo s liquidity of its shares will increase as well."

"Aspek market microstructure di bursa saham merupakan aspek yang banyak dibicarakan, telah diteliti namun masih banyak yang dapat diteliti Iebih lanjut. Apa yang menjadi subjek dalam penelitian ini adalah bagaimana memetakan perilaku investor dalam hal melakukan transaksi jual atau beli dengan sejumlah variabel-variabel informasi yang ada di layar trading BEJ. Hipotesa-hipotesa yang disusun berasal dari penelitian-penelitian market microstructure Lo & MacKiniay (1992) yang menggunakan model ordered probit dan kemudian dimodelkan kembali oleh Purwanto (2001) dengan menggunakan model ordered logit yang menggunakan data intraday. Jika periode penelitian diubah menjadi harian atau adanya efek agregasi maka kekonsistenan hipotesa-hipotesa dari penelitian terakhir kembali diuji.Dari penelitian didapatkan temuan bahwa informasi di layar trading berupa volume bukan merupakan prediktor yang baik untuk menjelaskan perilaku investor, ini mendukung temuan Juh Lin et al. (1998). Frekuensi digunakan sebagai variabel penjelas bagi model market microstructure dengan menggunakan data harian.Secara ekonomi, model penelitian ini sederhana karena tidak menggunakan data yang diambil langsung dari layar BEJ, melainkan berupa data harian yang teragregasi. Namun penyederhanaan ini mengandung trade off berupa ketidakakuratan data, seperti tidak terpetakannya transaksi di dalam pasar modal sehingga volume tidak bisa digunakan, dan hasil uji beberapa variabel penjelas menunjukkan hasil yang berbeda tanda dengan hipotesa awal.Walaupun demikian, penelitian ini dapat disimpulkan bahwa dari 10 saham unggulan yang diteliti, return indeks saham gabungan atau JSXCR merupakan informasi yang mempengaruhi keputusan jual atau beli investor, sehingga merupakan variabel penting dalam model market microstructure."

"Companies often split their stocks to adjust prices and increase liquidity. This paper investigates the impact of stock split on stock liquidity in the Jakarta Stock Exchange. Liquidity Is measured using two Interrelated proxies. First, we use relative bid-ask spread (RS) to measure two-dimension liquidity: immediacy and width. Second, we use depth to relative spread (DTPS) ratio to measure the more complete or three-dimension liquidity: immediacy, width.and depth. We deduce the impact of stock split on liquidity will depend on the tick size after the split. To examine, we divide the sample into two groups. The first group consists of stocks experiencing tick size decline, white the second group consists of stocks traded using the same tick size after the split. Our investigations confirm that stock split enhances two-dimension liquidity, only if the split reduces stock tick size. In other words, stock split does not improve two-dimension liquidity if it does not decrease the tick size. Moreover, because of market depth and relative spread trade-off, stock split does not promote three-dimension liquidity, regardless of its effect on the tick size."

"ABSTRAKHubungan antara informasi asimetri dan praktek perataan laba di IndonesiaThis paper conducts an empirical investigation about the relations/zip between information asymmelly and earnings management in Indonesia. When information asymmetry is high, the stakeholders do not have any information orresources to monitor and to know manager's activities which give rise to thepractice of earnings management. To provide evidence practices of earningmanagements and information asymmetry, this paper uses aggregate accrualswith modified Jones model and market microstructure theory. This paper employsreturn vtflatility, trading volume and quotes price for bid ask spread to proxy inmarket microstructure. This paper employs generalized least squares with 60 firmbalanced panel data in the 1994-199, and also addresses about the effect ofIndonesian financial crisis to the relationship between information asymmet1yand earnings management. We compare sub-sample before and in the financialcrisis period. Empirical result suggests a positive relationship betweeninformation asymmetry as measured by bid ask spreads and the level of earningsmanagement in Indonesia. This positive relationship is not ~ffected by Indonesianfinancial crisis."