Perdana Wahyu Santosa
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Determinants of price reversal in high-frequency trading: empirical evidence from Indonesia
Investment Management and Financial Innovations Volume 17, 2020 Issue #1 pp. 175-187
Views: 1332 Downloads: 767 TO CITE АНОТАЦІЯThis article analyzes whether the factors of the mechanism of high-frequency trading (HFT) or intraday trading affect the process of price reversal and continuation. The price reversal phenomenon is gaining importance rapidly due to the increasingly intensive use of IT/Fintech-based trading automation facilities on the Indonesia Stock Exchange. However, one knows little about how their trading affects volatility and liquidity pressures that cause price reversals. A new research approach uses the factors of market microstructure mechanism based on high-frequency data (HFD-intraday). The research method uses purposive random sampling, which classified price fractions into three groups, specifically low price, medium price, and high price, which are analyzed by logistic panel regression. The research variables used include price reversal (dependent), stock return, trading volume, transaction frequency, volume/frequency (V/F) proxy, volatility, and liquidity. According to low price model research findings, all variables show a significant effect on price reversal; for medium price model, all variables except liquidity show a significant effect on price reversal; and for high price model, all variables have a significant effect on price reversal, except trading volume and volatility. In conclusion, low price shares tend to have higher price reversal probability compared to continuity because they tend to be liquid, low institutional ownership, and minimal reporting/analysis and are controlled by HFTs (uninformed traders). Some variables are not significant because of the bounce effect around the bid-ask spread.
Acknowledgment
Many thanks to Armida S. Alisjahbana, Roy H. Sembel, Budiono, Rahardi S. Rahmanto, and the anonymous referee/reviewer for valuable inputs and feedback. -
The moderating role of audit quality and firm size in the effect of corporate governance on related party transactions: Evidence from Indonesia
Perdana Wahyu Santosa , Sovi Ismawati Rahayu , Zainal Zawir Simon , Martua Eliakim Tambunan doi: http://dx.doi.org/10.21511/imfi.18(4).2021.15Investment Management and Financial Innovations Volume 18, 2021 Issue #4 pp. 166-176
Views: 910 Downloads: 293 TO CITE АНОТАЦІЯThis study aims to analyze the essential corporate governance determinants of related party transactions (RPTs) in Indonesia. Based on a hand-collected sample of three business groups of small, medium, and large-cap publicly listed firms on the Indonesia Stock Exchange (IDX) for 2013–2019, panel regression results find that foreign shareholders and firm size have a significant effect, at –2.402 and 0.248, respectively. The moderating model of audit quality shows that domestic shareholders, foreign shareholders, and firm size are significantly negatively associated, with –5.627 and –5.958 at 5%, respectively. Similar results show that foreign shareholders and independent commissioners significantly negatively affect related party transactions at –2.864 and –1.845, moderating the firm size at 10% and 5%, respectively. The moderation of regression results also indicates that audit quality and firm size tend to strengthen negative effects on the association between related party transactions and corporate governance. The moderation interaction confirms that audit quality will determine that domestic and foreign shareholders tend to increase the number of affiliate transactions. The interaction of complete information quality will force domestic and foreign shareholders to increase the role of affiliate transactions in creating firm value. The larger size of the firm, which is owned by foreign shareholders, will increase the intensity of cross-border related party transactions through the combined effects in the context of internationalization with a tendency of expropriation and transfer pricing practices, which can reduce government tax incomes.
Acknowledgment
We are grateful to the Ministry of Education, Culture, Research and Technology, Indonesia, for research grant No. 163/E4.1/AK.04.PT/2021, as well as the editor of the Investment Management and Financial Innovations journal, peer reviewers, and some colleagues for their suggestions, criticism and comments that significantly improved this paper. -
The role of moderating audit quality relationship between corporate characteristics and financial distress in the Indonesian mining sector
Perdana Wahyu Santosa , Martua Eliakim Tambunan , Eva Rohima Kumullah doi: http://dx.doi.org/10.21511/imfi.17(2).2020.08Investment Management and Financial Innovations Volume 17, 2020 Issue #2 pp. 88-100
Views: 1608 Downloads: 510 TO CITE АНОТАЦІЯFinancial performance and corporate governance play an important role in financial distress in the mining sector, which is one of the most significant contributors to the Indonesian economy. This study aims to analyze the effect of corporate characteristics on financial distress (FD), which is moderated by corporate governance (audit quality), and uses the controlling variables (inflation rate and GDP). The study uses data from audited financial statements from mining sector in the Indonesia Stock Exchange for the period 2013–2018. Since the dependent variable (FD) is dichotomous, this study used a binary logistic regression model, as it is the case in many studies regarding the probability of bankruptcy filing. In line with the current study and some previous studies, leverage, efficiency (activity), market-to-book value, audit quality, and GDP affect the probability of financial distress significantly. Only liquidity and inflation do not impact FD. Besides, the moderating audit quality weakens the effect of liquidity and PBV; otherwise, it strengthens leverage and efficiency in predicting financial distress. As for managerial implications, this study concludes that corporate performance, corporate governance, and macro-risk factors affect the probability of financial distress. The authors suggest that mining firms need to pay attention to corporate governance and should watch the economic condition for business sustainability.
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