Determinant of Market Liquidity in Indonesia

Abstract

This research aims to explore the Market volatility, Market return, exchange rate and foreign stock buying, on market liquidity in the Indonesia Stock Exchange. This research use VAR (Vector Autoregression) to estimate coefficient model. Monthly data is used for period of January 2010 to December 2023. This research found that Market Liquidity lag – 1 and Lag-2 positively significant impact on Market Liquidity. Market Return negatively significant influence on Market Liquidity. Exchange Rate negatively significant impact on market liquidity. Pandemic era or Covid-19 positively significant affected on market liquidity. IDX issued a rule to reduce 1 lot trading to become 100 stocks which is positively significant influence on Market Liquidity. Stock Volatility and Foreign Buying did not affect on market liquidity.