EconPapers    
Economics at your fingertips  
 

Stock market efficiency and liquidity: The Indonesia Stock Exchange merger

Ann Shawing Yang and Airin Pangastuti

Research in International Business and Finance, 2016, vol. 36, issue C, 28-40

Abstract: This study investigates the market liquidity and efficiency of the merger between the Surabaya Stock Exchange and the Jakarta Stock Exchange into the Indonesia Stock Exchange (IDX). Efficiency theory and scale economies are applied to identify the liquidity and efficiency levels of firms. Results indicate that large market capitalization companies and the non-financial sector achieved greater market efficiency than their counterparts. Despite foreign ownership reduces market efficiency for large market capitalization firms, small market capitalization firms increase market efficiency via merger. The IDX composite index demonstrated weak-form efficiency, with LQ45 index returns explaining up to 29.3% of the price movements and up to 8.5% of the IDX returns.

Keywords: Stock exchange merger; Liquidity and efficiency; Efficiency theory; Foreign ownership (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531915300076
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:36:y:2016:i:c:p:28-40

DOI: 10.1016/j.ribaf.2015.09.002

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-07-01
Handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:28-40