[
ABSTRAKAlgorithmic Trading (AT) telah menjadi salah satu alternatif strategi berinvestasi
yang telah banyak digunakan di berbagai pasar finansial di dunia. Salah satu
dampak yang muncul terhadap penggunaan AT ini adalah meningkatnya likuiditas
pasar modal yang ditunjukkan dengan tren meningkatnya frekuensi dan value
perdagangan. Pada penelitian ini, dilakukan analisis terhadap karakteristik
perdagangan dari member Bursa Efek Indonesia yang telah menerapkan AT.
Ternyata, value perdagangan yang ditunjukkan oleh member AT tersebut
menunjukkan telah meliputi hampir 50% dari value total perdagangan. Tren ini
berlaku baik secara harian, pada setiap sesi perdagangan, dan untuk 15 menit awal
dan 15 menit akhir perdagangan. Selain itu, AT juga berdampak negatif terhadap
turnover value market dan market return. Penerapan AT juga berdampak terhadap
terhadap semakin meningkatnya efisiensi pembentukan price. Hal ini dibuktikan
dengan korelasi positif antara penerapan AT dengan komponen permanen price
dan berkorelasi negative dengan komponen transitory price.
ABSTRACTAlgorithmic trading (AT) has become one of most popular of investment strategy
that has been used in many stock exchange in the world. Because of its
implementation, liquidity in many stock exchanges has increased dramatically. It
has been found that the value and frequency of trading has increased as the proof
of liquidity growth. With this thesis, it is proved that the value of AT in IDX has
become 50% of total value of trading. It happens in daily trading, in every
session, in critical time of trading, that is 15 menit in the beginning and 15 menit
befor closing. Beside that, the implementation of AT has negative impact on
turnover value market and market return. In term of price discovery, AT has
contributed through the permanent component of price, but in the opposite
direction of transitory price;Algorithmic trading (AT) has become one of most popular of investment strategy
that has been used in many stock exchange in the world. Because of its
implementation, liquidity in many stock exchanges has increased dramatically. It
has been found that the value and frequency of trading has increased as the proof
of liquidity growth. With this thesis, it is proved that the value of AT in IDX has
become 50% of total value of trading. It happens in daily trading, in every
session, in critical time of trading, that is 15 menit in the beginning and 15 menit
befor closing. Beside that, the implementation of AT has negative impact on
turnover value market and market return. In term of price discovery, AT has
contributed through the permanent component of price, but in the opposite
direction of transitory price, Algorithmic trading (AT) has become one of most popular of investment strategy
that has been used in many stock exchange in the world. Because of its
implementation, liquidity in many stock exchanges has increased dramatically. It
has been found that the value and frequency of trading has increased as the proof
of liquidity growth. With this thesis, it is proved that the value of AT in IDX has
become 50% of total value of trading. It happens in daily trading, in every
session, in critical time of trading, that is 15 menit in the beginning and 15 menit
befor closing. Beside that, the implementation of AT has negative impact on
turnover value market and market return. In term of price discovery, AT has
contributed through the permanent component of price, but in the opposite
direction of transitory price]
T-Alfin Falihian.pdf :: Unduh