Abstrak 
On the Relationships among Expected Return, Volume, Holding Period, and Bid-Ask Spread in Indonesia Stock Market
On the Relationships among Expected Return, Volume, Holding Period, and Bid-Ask Spread in Indonesia Stock Market
Erna Garnia, Ina Primiana, Rachmat Sudarsono, Dian Masyita
Universitas Padjadjaran, American Scientific Publishers, Advenced Science Letters, Volume 21, Number 4 , April 2015
Bahasa Inggris
Universitas Padjadjaran, American Scientific Publishers, Advenced Science Letters, Volume 21, Number 4 , April 2015
bid-ask spread, expected return, liquidity
Erna Garnia, Ina Primiana, Rachmat Sudarsono, Dian Masyita
Universitas Padjadjaran, American Scientific Publishers, Advenced Science Letters, Volume 21, Number 4 , April 2015
Bahasa Inggris
Universitas Padjadjaran, American Scientific Publishers, Advenced Science Letters, Volume 21, Number 4 , April 2015
bid-ask spread, expected return, liquidity
The relationships among expected return and various liquidity measures are first examined theoretically in this paper. Under constant holding period, it is shown that the expected return is proportional to the bid-ask spread. Under constant expected return, the holding period is proportional to the bid-ask spread and the volume is inversely proportional to the bid-ask spread. Under constant bid-ask spread, the expected return is inversely proportional to the holding period and is also proportional to the volume. Based on five years data from Indonesia Stock Market, the previous relationships are examined empirically.
Download: .Full Papers