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Determinant of Bid - Ask Spread Share on LQ45 Index Emitents in Indonesia

Authors: Fitri Ayu Utami; Isfenti Sadalia; Muda, Iskandar;

Determinant of Bid - Ask Spread Share on LQ45 Index Emitents in Indonesia

Abstract

The rapid development of capital market activities has brought profound changes to the demands of information quality. The issue surrounding stock prices is one indicator that investors consider to invest. So the difference between the selling price and the purchase price of a stock (spread) affects the level of liquidity of the stock. Factors also influence the Bid-Ask Spread, one of which is the stock price. When the stock price is high, it means that the shares are actively traded. Not only stock prices, stock price volatility is also considered to affect investment risk and uncertainty, as seen from fluctuations in stock price volatility. Another variable is the trading volume which describes the activity of the number of shares traded on the capital market, so that indirectly the trading volume of a security gives an influence on the Bid-Ask Spread. The study was conducted on Issuers listed in the LQ45 index for the period January 2016 - July 2019 on the Indonesia Stock Exchange. A sample of 31 companies with secondary data from the LQ45 report published by the Indonesia Stock Exchange. The study uses analysis techniques used to test the hypotheses in this study is the Panel Data Regression Method with the help of Eviews Application. The model chosen is the fixed effect model with the results of negative and significant stock price variables and other variables namely stock volatility, trading volume and positive and significant company size on the bid ask spread. All research variables together have a significant effect on Bid Ask Spread.

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Keywords

LQ45, Bid Ask Spread, Stock Volatility, Trading Volume, Company Size, Share Prices, Eviews, Panel Data Regression.

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This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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