PROBABILITAS PRICE REVERSAL DAN AKTIFITAS INTRADAY TRADING PADA TICK SIZE TERTINGGI DI BURSA EFEK INDONESIA

Abstract

This research aim to study market microstructure theory in high-frequency data and analyze its implications for realized intraday trading mechanism affected the price formation process and its overreaction to make price reversal when the mispricing has to be corrected by market. This research used stratifiedpurposive random sampling to get some observed samples based on the highest tick size in Indonesia Stock Exchange (IDX) for IDR 50. The sample is PT Indosat, Tbk (ISAT.IJ), known as liquid stock, good fundamental performance, professional management, good business outlook, and medium market capitalization. The variables of empirical model are price reversal (as dependent variable) and trading volume, transaction frequency, proxy volume per frequency (V/F), volatility and liquidity. Trading fraction of tick-by-tick in this research is 15 minutes. To determine price reversal probability, this research used multiple logit regression with categorical data (0 and 1) as dependent variable. Utilizing BLUE criteria as the fit model, this research used some statistical test like heteroskedasticity (White), multicolinearity, and step wise regression (Wald). This research find that trading volume, frequency of transaction, proxy V/F, and price volatility affect significantly on probability of price reversal in intraday trading activity at IDX.