ADVERSE SELECTION IN BID ASK SPREAD FOR INDONESIAN BLUE CHIP STOCKS
Keywords:
adverse selection, corporate governance, ownership patter, bid and ask prices, OLS, GARCH
Abstract
The objectives of this study were to observe the relationship among adverse selection, corporate governance, and ownership pattern in Indonesia. There are several conclusions that can be taken from the result. First, adverse selection exists in Indonesian companies. Second, corporate governance may not affect adverse selection. Third, the pattern of ownership may not affect adverse selection. These conclusions show that it is wiser for investors not to use only corporate governance or ownership pattern for investment decisions in Indonesia.
References
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Charoenwong, Charlie, Ding, David K. and Siraprapasiri, Vasan. "Adverse Selection and Corporate Governance". International Review of Economics and Finance, 2011.
Copeland, T.E. and Galai, Dan. "Information Effects on the Bid-Ask Spread". The Journal of Finance, Vol. 38, No. 5(1983):1457-1469.
Denis, K. D. and McConnel J.J. "International Corporate Governance". The Journal of Financial and Quantitative Analysis, Vol. 38, No. 1(2003):1-36.
Eng L.L. and Mak, Y.T. "Corporate Governance and Voluntary Disclosure". Journal of Accounting and Public Policy, 2003.
Gibson, M. S. "Is Corporate Governance Ineffective in Emerging Markets?". The Journal of Financial and Quantitative Analysis, Vol.38, No. 1 (2003):231-250.
Gugler, Mueller, D.C., and Yurtoglu B.B. "Corporate Governance and the Returns on Investment". Journals of Law and Economics, Vol.47, No. 2(2004):589-633.
Gujarati, Damodar N and Dawn C. Porter. Basic Econometrics, 5th ed. New York: McGraw-Hill, 2009.
Huang, Roger D. and Stool, Hans R. “The Components of the Bid-Ask Spread: A General Approach”. The Review of Financial Studies, Vol.10, No. 4(1997):995-1034.
Indonesian Institute for Corporate Directorship (IICD). "IICD Research Report". Available from http://www.iicd.or.id/modules.php?name=Download; Internet; accessed 28 March 2012.
Indonesian Stock Exchange (IDX). “Daily Bid & Ask Price”. Jakarta: Indonesian Stock Exchange, 2010
Kumar, P. C. "Bid-Ask Spreads in U.S. Equity Markets". Journal of Business and Economics, Vol. 43, No.3/4(2004):85-111.
Lin, J. C., Sanger, G.C. and Booth, G.G. "Trade Size and Components of the Bid-Ask Spread". The Review of Financial Studies,Vol. 8 No. 4(1995):1153-1183.
Schadewitz, H.J. and Blevins, D.R. "Major Determinants of Interim Disclosures in an Emerging Market". American Business Review, Vol. 16, No. 1(1998):41-55.
Schleifer, A. and Vishny R. "Large Sharholders and Corporate Control". Journal of Political Economy, Vol. 94, No. 3(1986):461-468.
Tirole, Jean. "Corporate Governance". Econometrica, Vol. 69, No. 1 (2001): 1-35.
Uhlaner, L., Wright, Mike and Huse, Morten. "Private Firms and Corporate Governance: An Integrated Economic and Management Perspective". Small Business Economics, Vol. 29, No. 3(2007): 225-241.
Published
2018-09-10
How to Cite
Pohan, D., & Josephine, A. (2018). ADVERSE SELECTION IN BID ASK SPREAD FOR INDONESIAN BLUE CHIP STOCKS. ESENSI: Jurnal Manajemen Bisnis, 21(2), 91-106. https://doi.org/10.55886/esensi.v21i2.9
Section
Articles
