Comparison of Various Liquidity Measures in LQ45 Stocks

DOI

10.2991/icebef-18.2019.96How to use a DOI?

Keywords

liquidity; LQ45; bid-ask spread; Amihud factor; price change

Abstract

The liquidity of stock is the decisive factor that must be considered for investment in capital market. Though various liquidity measures were proposed, no works have shown what is the best one. This paper compares the various liquidity measures in predicting the expected return of LQ45 stocks. LQ45 is a group of 45 stocks in Indonesia Stock Exchange which are liquid based on the mostly traded. In this work, the liquidity measure is divided into non-amortized liquidation cost and amortized liquidation cost. The compared liquidity measured are bid-ask spread, Amihud factor, price change, both amortized and non-amortized one. The suitability of liquidity measure is measured by the R-squared value. This work has used LQ45 data from 2002 to 2016. Based on the data analysis, it is found that the highest R-squared value is price change. It is also found in this work that the R-square can be improved by taking into account the stock size. Price change is still the best when the size is considered.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Erna Garnia
AU  - Ae Suaesih
AU  - Hadi Ahmad Sukardi
PY  - 2019/05
DA  - 2019/05
TI  - Comparison of Various Liquidity Measures in LQ45 Stocks
BT  - Proceedings of the 1st International Conference on Economics, Business, Entrepreneurship, and Finance (ICEBEF 2018)
PB  - Atlantis Press
SP  - 441
EP  - 444
SN  - 2352-5428
UR  - https://doi.org/10.2991/icebef-18.2019.96
DO  - 10.2991/icebef-18.2019.96
ID  - Garnia2019/05
ER  -