We separate noise from information related variance for stocks traded on the Indonesian Stock Exchange with a realized variance estimator. We find that the average optimal sampling frequency to estimate the realized variance is 9 min and that market quality has improved after 2004. The...

In this study we applied the realized variance based estimator to extract the information from noise and efficient variance from the Indonesia Stock Exchange (IDX). The stocks in the sample are stratified by trading frequency every six months from 2000 to 2007. The standard deviation of noise...

We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of adjustment and the corresponding realized...

High frequency study at individual level in the Jakarta Stock Exchange is conducted in this research to reveal the dynamics at intraday level. Several apparent patterns emerge from analyzing the relation among the speed of adjustment coefficients, noise, and noise variance. It is found that the...

This study examines the price formation process, noise level, non-trading and component of bid-ask spreads of individual shares listed on the Jakarta Stock Exchange for the period from 2000 to 2004. The price formation process is estimated using speed of adjustment based on the simple partial...

This study attempts to present the structure of interlinkages, exogeneity and contagion of the crisis that occurs in Indonesia's stock and foreign exchange markets. The weekly period it covers extends 1992 to 2002. During the crisis, change in the structure of exogeneity did occur in the foreign...