Abstract
This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock Exchange (IDX). We extend the research by investigating risk premium and excess return relationship employing intraday volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset pricing in Indonesia stock market.
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