[Algorithmic Trading (AT) telah menjadi salah satu alternatif strategi berinvestasiyang telah banyak digunakan di berbagai pasar finansial di dunia. Salah satudampak yang muncul terhadap penggunaan AT ini adalah meningkatnya likuiditaspasar modal yang ditunjukkan dengan tren meningkatnya frekuensi dan valueperdagangan. Pada penelitian ini, dilakukan analisis terhadap karakteristikperdagangan dari member Bursa Efek Indonesia yang telah menerapkan AT.Ternyata, value perdagangan yang ditunjukkan oleh member AT tersebutmenunjukkan telah meliputi hampir 50% dari value total perdagangan. Tren iniberlaku baik secara harian, pada setiap sesi perdagangan, dan untuk 15 menit awaldan 15 menit akhir perdagangan. Selain itu, AT juga berdampak negatif terhadapturnover value market dan market return. Penerapan AT juga berdampak terhadapterhadap semakin meningkatnya efisiensi pembentukan price. Hal ini dibuktikandengan korelasi positif antara penerapan AT dengan komponen permanen pricedan berkorelasi negative dengan komponen transitory price.
ABSTRACT
Algorithmic trading (AT) has become one of most popular of investment strategythat has been used in many stock exchange in the world. Because of itsimplementation, liquidity in many stock exchanges has increased dramatically. Ithas been found that the value and frequency of trading has increased as the proofof liquidity growth. With this thesis, it is proved that the value of AT in IDX hasbecome 50% of total value of trading. It happens in daily trading, in everysession, in critical time of trading, that is 15 menit in the beginning and 15 menitbefor closing. Beside that, the implementation of AT has negative impact onturnover value market and market return. In term of price discovery, AT hascontributed through the permanent component of price, but in the oppositedirection of transitory price;Algorithmic trading (AT) has become one of most popular of investment strategythat has been used in many stock exchange in the world. Because of itsimplementation, liquidity in many stock exchanges has increased dramatically. Ithas been found that the value and frequency of trading has increased as the proofof liquidity growth. With this thesis, it is proved that the value of AT in IDX hasbecome 50% of total value of trading. It happens in daily trading, in everysession, in critical time of trading, that is 15 menit in the beginning and 15 menitbefor closing. Beside that, the implementation of AT has negative impact onturnover value market and market return. In term of price discovery, AT hascontributed through the permanent component of price, but in the oppositedirection of transitory price;Algorithmic trading (AT) has become one of most popular of investment strategythat has been used in many stock exchange in the world. Because of itsimplementation, liquidity in many stock exchanges has increased dramatically. Ithas been found that the value and frequency of trading has increased as the proofof liquidity growth. With this thesis, it is proved that the value of AT in IDX hasbecome 50% of total value of trading. It happens in daily trading, in everysession, in critical time of trading, that is 15 menit in the beginning and 15 menitbefor closing. Beside that, the implementation of AT has negative impact onturnover value market and market return. In term of price discovery, AT hascontributed through the permanent component of price, but in the oppositedirection of transitory price, Algorithmic trading (AT) has become one of most popular of investment strategythat has been used in many stock exchange in the world. Because of itsimplementation, liquidity in many stock exchanges has increased dramatically. Ithas been found that the value and frequency of trading has increased as the proofof liquidity growth. With this thesis, it is proved that the value of AT in IDX hasbecome 50% of total value of trading. It happens in daily trading, in everysession, in critical time of trading, that is 15 menit in the beginning and 15 menitbefor closing. Beside that, the implementation of AT has negative impact onturnover value market and market return. In term of price discovery, AT hascontributed through the permanent component of price, but in the oppositedirection of transitory price] |
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