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Evidence of price discovery on the Indonesian stock exchange

journal contribution
posted on 01.12.2019, 00:00 authored by Susan SharmaSusan Sharma, Kannan ThuraisamyKannan Thuraisamy, M Madyan, N Laila
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.

History

Journal

Economic modelling

Volume

83

Pagination

2 - 7

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0264-9993

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article