The Correlation between Trading Friction and Trading Characteristic in Indonesian Stock Exchange

Immas Nurhayati

2018

Abstract

The main purpose of this research is to measure the correlation trading friction and some variabel that affect it for high frequency financial data in Indonesian Stock Exchange. Trading friction define as the difficulties faced by investors in the stocks trading which is sourced from implicit transaction cost. Using research result of trading friction calculation generated in previous studies by Nurhayati, Ekaputra and Husodo (2018), that the average trading friction of high market capitalization and relatively liquid stocks, scattered in various fractions price is equal to 1% per year and the highest trading frictions derived from the information, correlation test will be carried out between trading friction to characteristics of trading. The result can prove that trading friction measures are negatively and highly correlated with stock price, market capitalization and number of transactions, and uncorrelated with the volume of transactions as parameters proved to be insignificant.

Paper Citation

in Harvard Style

Nurhayati I. (2018). The Correlation between Trading Friction and Trading Characteristic in Indonesian Stock Exchange.In Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES, ISBN 978-989-758-432-9, pages 1251-1256. DOI: 10.5220/0009501612511256

in Bibtex Style

@conference{unicees18,
author={Immas Nurhayati},
title={The Correlation between Trading Friction and Trading Characteristic in Indonesian Stock Exchange},
booktitle={Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,},
year={2018},
pages={1251-1256},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009501612511256},
isbn={978-989-758-432-9},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,
TI - The Correlation between Trading Friction and Trading Characteristic in Indonesian Stock Exchange
SN - 978-989-758-432-9
AU - Nurhayati I.
PY - 2018
SP - 1251
EP - 1256
DO - 10.5220/0009501612511256