Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/152103
Title: ARE RETAIL INVESTORS UNINFORMED NOISE TRADERS? EVIDENCE FROM MINIMUM TRADING UNIT (MTU) REDUCTIONS IN SINGAPORE EXCHANGE (SGX) AND INDONESIA STOCK EXCHANGE (IDX)
Authors: TOH YONG HUI DESMOND
Keywords: Minimum Trading Unit (MTU)
Amihud illiquidity measure
trading volume
daily returns
informed investors
noise traders
Issue Date: 5-Nov-2018
Citation: TOH YONG HUI DESMOND (2018-11-05). ARE RETAIL INVESTORS UNINFORMED NOISE TRADERS? EVIDENCE FROM MINIMUM TRADING UNIT (MTU) REDUCTIONS IN SINGAPORE EXCHANGE (SGX) AND INDONESIA STOCK EXCHANGE (IDX). ScholarBank@NUS Repository.
Abstract: This paper seeks to investigate the effects of the decrease in Minimum Trading Units (MTU) in the Singapore Exchange (SGX) and Indonesia Stock Exchange (IDX) on market measures such as liquidity, trading volume and daily returns, and determine whether individual investors are generally informed investors or uninformed noise traders. One key finding is that the decrease in MTU has led to an increase in liquidity and trading volume, while not having a statistically significant effect on daily returns. Moreover, through investigating heterogeneity across stocks, there is evidence that retail investors in both SGX and IDX are likely to be uninformed noise traders rather than informed investors.
URI: http://scholarbank.nus.edu.sg/handle/10635/152103
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