Impact of Anonymity Broker ID on Market Quality: Evidence From Indonesia Stock Exchange

Farah Permanasari; Buddi  Wibowo

doi:10.36418/syntax-literate.v7i11.12058

Farah Permanasari Fakultas Ekonomi dan Bisnis, Universitas Indonesia
Buddi Wibowo Fakultas Ekonomi dan Bisnis, Universitas Indonesia

DOI: https://doi.org/10.36418/syntax-literate.v7i11.12058

Keywords: Anonimity Broker ID, Transparency Broker ID, Volatility High Low, Bid-Ask-Spread, Total Depth Value, Trading Volume

Abstract

This study aims to determine the effect of the implementation of Anonymity Broker ID on the quality of the stock market on the Indonesia Stock Exchange (IDX). The application of Anonymity Broker ID is measured by dummy indicators over the period before and after Anonymity Broker ID. Market quality measurement consists of high low volatility of stocks, bid-ask-spread, total depth value and volume. Hypothesis testing was carried out using Fixed Effect Ordinary Least Squares (OLS) and Fixed Effect Two-Stage Least Square (2SLS) regression models and using a sample of all stocks that were actively transacting during the period 04 December 2020 to 06 December 2022. The results provide empirical evidence that Anonymity Broker ID has a positive effect on the volatility of the 330 most active stocks, positively affects Total Depth Value, Bid Ask Spread and Volume. It can generally be concluded that Anonymity Broker ID can effectively dampen excessive market reaction during enactment.

Downloads

Download data is not yet available.

References

Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2001). High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. National Bureau of Economic Research Working Paper Series, No. 8162, 1â€“2. http://www.nber.org/papers/w8162

Andersen, T.G., Bollerslev, T., 1997. Heterogeneous information arrivals and return volatility dynamics: uncovering the long-runin high frequency returns. Journal of Finance 52, 975.

Bodie, Z., Kane, A., & Marcus, A. J. (2008). Investments (7th Edition ed.). New York: McGraw-Hill.

Bursa Efek Indonesia, PT. (2021). Peraturan Nomor II-A: Tentang Perdagangan Efek Bersifat Ekuitas, Lampiran Keputusan Direksi PT. Bursa Efek Indonesia Nomor Kep-000023/BEI/03-2020, tanggal 9 Maret 2022, dan Nomor Kep-000025/BEI/03-2020, tanggal 25 Maret 2022. Teredia di http://www.idx.co.id/.

Comerton-Forde, C., Rydge, J., 2003. A review of stock market microstructure. In: Equity Market Microstructure Review, Preparedfor the Australian Stock Exchange, CMCRC Working Paper.

Comerton-Forde, C., Frino, A., & Mollica, V. (2005). The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea. Journal of Economics and Business, 57(6), 528â€“540. https://doi.org/10.1016/j.jeconbus.2005.05.001

Demsetz, H., 1968. The cost of transacting. Quarterly Journal of Economics 82, 33â€“53.

Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25, 383-417.

Foucault, T., Moinas, S., Theissen, E., 2007. Does anonymity matter in electronic limit order markets? Review of Financial Studies20, 1707â€“1747.

Gujarati, D. N. (2003). Basic Econometrics 4th Edition. New York: The McGraw-Hili Companies, Inc.

Gujarati, N. D & Porter, D. C. 2013. Dasar-dasar Ekonometrika. Buku 1 dan Buku 2 Edisi 5. Penerjemah: Raden Carlus Mangunsong. Salemba Empat, Jakarta.

Kyle, A.S., 1985. Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society 53, 1315â€“1335.

Madhavan, A., Porter, D., & Weaver, D. (2005). Should securities markets be transparent? Journal of Financial Markets, 8(3), 265â€“287. https://doi.org/10.1016/j.finmar.2005.05.001

Pham, T. P. (2015). Broker ID transparency and price impact of trades: Evidence from the Korean Exchange. International Journal of Managerial Finance, 11(1), 117â€“131. https://doi.org/10.1108/IJMF-05-2013-0059

Phuong Pham, T., & Joakim Westerholm, P. (2013). An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume. Journal of International Financial Markets, Institutions and Money, 27(1), 202â€“223. https://doi.org/10.1016/j.intfin.2013.09.006

Rindi, B., 2008. Informed traders as liquidity providers: transparency, liquidity and price formation. Review of Finance 2008 12,497â€“532.

Simaan, Y., Weaver, D.G., Whitcomb, D.K., 2003. Market maker quotation behavior and pretrade transparency. Journal of Finance58, 1247â€“1268.

Susalit, Diandini (2022). Analisis Pengaruh Penerapan Asymetric Auto Rejection Terhadap Kualitas Pasar Saham Indeks LQ45 dan Idx Smc-Liquid. Tesis. Universitas Gajah Mada, Yogyakarta.