This book contains three essays that explore the speed of
adjustment, volatility and noise in the Indonesia Stock Exchange.
The first essay found that the significant factor determining the
noise in the speed of adjustment is bid-ask fluctuations. Further,
the adverse selection cost is found to be a significant component
determining the speed of adjustment level in the Indonesia Stock
Exchange. The second essay analyses the exact time of adjustment at
intraday frequency from 2000 to 2007. Both first and second moment
estimation of the speed of adjustment provide consistent result of
30 minute adjustment period. The third essay analyses the second
moment of continuously compounded returns from 2000 to 2007. Using
the realized variance, the optimal frequency to estimate the
efficient variance, on average, is nine minutes. Further, the
variance ratio of daily efficient variance to daily open-to-close
reveals significant private information underlying price process in
the Indonesia Stock Exchange.
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