[ABSTRAK
Penelitian ini mengidentifikasi pengaruh keterbukaan sektor keuangan dan faktor lainnya seperti makroekonomi, fundamental perusahaan, dan indikator pasar terhadap likuiditas pasar saham di Indonesia. Penelitian ini mengggunakan sampel 149 perusahaan yang tercatat di Bursa Efek Indonesia dengan periode observasisejak tahun 2005 hingga 2013. Metode estimasi yang digunakan adalah data paneldinamis Arellano-Bond GMM. Hasil penelitian ini menunjukkan bahwa secara statistik keterbukaan sektor keuangan berpengaruh positif terhadap likuiditas pasarsaham di Indonesia. Faktor makroekonomi, fundamental perusahaan, dan indikator pasar secara statistik juga terbukti memiliki pengaruh terhadap likuiditas pasarsaham di Indonesia. Variabel dummy Krisis AS 2008 secara statistik terbukti menunjukkan adanya perbedaan likuiditas sebelum dan setelah Krisis AS 2008.Implikasi kebijakan dalam upaya peningkatan likuiditas adalah otoritas sektor keuangan dan pemerintah dapat mendorong keterbukaan sektor keuangan melalui peningkatan insentif bersifat agresif dalam meningkatkan jumlah perusahaan tercatat dan investor di Bursa Efek Indonesia, memperkuat fungsi pengawasan pasar saham dan mempertajam fungsi CMP (Crisis Management Protocol),sementara itu, Bank Indonesia diharapkan pula dapat meningkatkan peran serta dalam menjaga stabilitas makroekonomi dalam upaya peningkatan likuiditas pasarsaham.
ABSTRACT
This study investigate the impact of financial openness, macroeconomic variables, company fundamentals, and market indicators on stock market liquidity inIndonesia by using a sample of 149 companies listed on the Indonesia Stock Exchange, with the observation period from 2005 to 2013. Using the Arellano-BondGMM estimator for the dynamic panel data model, I find that the financial openness has positive impact on stock market liquidity while the macroeconomic variables,the company fundamentals and the market indicators have impact on stock market liquidity as well. Dummy variable of U.S Crisis 2008 shows the differences in liquidity before and after the crisis. The results of this paper could be relevant to the ongoing policy discussion regarding to increase liquidity. The FinancialServices Authority and The Government are expected to encourage financial openness, accompanied by considering more incentives for potential companies tobe listed on the Indonesia Stock Exchange and more incentives for potential investor, strengthening market supervision as well as enhancing Crisis ManagementProtocol function. Meanwhile, Bank Indonesia is also expected to improve macroeconomic stability to achieve higher stock market liquidity.;This study investigate the impact of financial openness, macroeconomic variables, company fundamentals, and market indicators on stock market liquidity inIndonesia by using a sample of 149 companies listed on the Indonesia Stock Exchange, with the observation period from 2005 to 2013. Using the Arellano-BondGMM estimator for the dynamic panel data model, I find that the financial openness has positive impact on stock market liquidity while the macroeconomic variables,the company fundamentals and the market indicators have impact on stock market liquidity as well. Dummy variable of U.S Crisis 2008 shows the differences in liquidity before and after the crisis. The results of this paper could be relevant to the ongoing policy discussion regarding to increase liquidity. The FinancialServices Authority and The Government are expected to encourage financial openness, accompanied by considering more incentives for potential companies tobe listed on the Indonesia Stock Exchange and more incentives for potential investor, strengthening market supervision as well as enhancing Crisis ManagementProtocol function. Meanwhile, Bank Indonesia is also expected to improve macroeconomic stability to achieve higher stock market liquidity., This study investigate the impact of financial openness, macroeconomic variables, company fundamentals, and market indicators on stock market liquidity inIndonesia by using a sample of 149 companies listed on the Indonesia Stock Exchange, with the observation period from 2005 to 2013. Using the Arellano-BondGMM estimator for the dynamic panel data model, I find that the financial openness has positive impact on stock market liquidity while the macroeconomic variables,the company fundamentals and the market indicators have impact on stock market liquidity as well. Dummy variable of U.S Crisis 2008 shows the differences in liquidity before and after the crisis. The results of this paper could be relevant to the ongoing policy discussion regarding to increase liquidity. The FinancialServices Authority and The Government are expected to encourage financial openness, accompanied by considering more incentives for potential companies tobe listed on the Indonesia Stock Exchange and more incentives for potential investor, strengthening market supervision as well as enhancing Crisis ManagementProtocol function. Meanwhile, Bank Indonesia is also expected to improve macroeconomic stability to achieve higher stock market liquidity.] |
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