Open AccessInformation Distribution and Informed Trading in Mixed and Islamic Capital Markets
Author(s) -
Rahma Tri Benita,
Siti Damayanti,
Irwan Adi Ekaputra
Publication year - 2021
Publication title -
international journal of business and society
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.236
H-Index - 15
ISSN - 1511-6670
DOI - 10.33736/ijbs.3353.2020
Subject(s) - database transaction , capital market , stock exchange , volatility (finance) , financial economics , indonesian , stock market , business , islam , economics , market microstructure , stock (firearms) , monetary economics , finance , order (exchange) , mechanical engineering , paleontology , linguistics , philosophy , theology , horse , computer science , engineering , biology , programming language
The correlation between volume and frequency with return volatility can explicate the information distribution process and informed traders' transaction behavior in a stock market. In this study, the Indonesian stock market represents the mixed market, while the Saudi Arabian stock market represents the Islamic market. We find that 94% and 96% of sharia-compliant stocks in Indonesia and Saudi Arabia follow the Mixture of Distribution Hypothesis (MDH). Consequently, we may conclude that sharia-compliant stocks in both markets are informationally efficient. However, we find that informed traders tend to behave differently in both markets. In the Indonesian market, informed traders exhibit competitive behavior in 95% of shariacompliant stocks and strategic transaction behavior in only 5% of the stocks. In contrast, in the Saudi Arabian market, we find that informed traders exhibit competitive behavior in only 38% of the stocks and strategic behavior in 62% of the stocks. The findings suggest that social and religious contexts may affect market participants' behavior.