Open AccessPrice Discovery Pada Pasar Obligasi Pemerintah Indonesia
Author(s) -
Buddi Wibowo
Publication year - 2021
Publication title -
matrik
Language(s) - English
Resource type - Journals
eISSN - 2302-8890
pISSN - 1978-2853
DOI - 10.24843/matrik:jmbk.2021.v15.i02.p02
Subject(s) - market liquidity , price discovery , order (exchange) , business , asset (computer security) , industrial organization , finance , computer science , computer security , futures contract
The study investigate price discovery in Indonesia government bond market. Understanding price discovery is a must to identify relevant factor affecting price of the asset. This research will cover two tier market, first tier is interdealer market and second tier is customer market. We study the dealer and customer order flow to identify which side that have greater impact in price formation in government bond market. The results show that from the two layers of order flow, the short-term dealer order flow and short-term customer order flow have role in price discovery process. Customer flow order regression coefficient is larger than the dealer order flow. Customers trade not only trade based on liquidity but also have information in making decisions or making investment portfolios (informed customers). At the group dealer order flow, dealers have a heterogeneous role and have different segments.