Abstract
Various studies have been carried out in relation to the behavior of dual listing stock prices, unfortunately, study on the effects of changes in dual listing stock prices on the Indonesia Stock Exchange (IDX) is still limited. Differences in trading time and stock exchange class between one stock exchange with another in different countries raise an opportunity for the accumulation of information when one of the exchanges is experiencing a closing trading period. Indonesian companies such as PT. Telekomunikasi Indonesia (Persero) Tbk. (TLKM) whose shares are listed on the New York Stock Exchange (NYSE) and IDX experience the difference in time of their transaction which can affect the shares on the NYSE and on the IDX. This study conducted by using daily data from January 2018 to December 2018. This study found that there is a significant effect of changes in TLKM stock prices on the NYSE in (t-1) period to changes in TLKM stock prices on IDX in t-period. This finding proves that there was the existence of transmission of information between the stock exchanges utilized by investors.
Highlights
Globalization in capital market and reduction of economic constraints between countries makes the capital markets in the world is increasingly in a tight competition
The shares listed by foreign companies on stock exchanges in developed countries, for example in United States, are called American Depositary Receipt (ADR) and the shares listed by foreign companies on stock exchanges on international markets are called Global Depositary Receipt (GDR) (Choi & Kim, 2000)
This study found that there is a significant positive effect of changes in TLKM stock price on the New York Stock Exchange (NYSE) in (t-1) period to changes in TLKM stock price on Indonesia Stock Exchange (IDX) in t-period
Summary
Globalization in capital market and reduction of economic constraints between countries makes the capital markets in the world is increasingly in a tight competition. The current trend is that companies try to register their shares on more than one stock exchange (Sarkissian & Schill, 2016). The process of listing shares outside the home country of a company is very interesting as many companies from developing countries are interested in listing their shares in developed countries (Duppati, Hou, Scrimgeour, & Hadsell, 2017; Li, Brockman, & Zurbruegg, 2015; Sarkissian & Schill, 2016). The shares listed by foreign companies on stock exchanges in developed countries, for example in United States, are called American Depositary Receipt (ADR) and the shares listed by foreign companies on stock exchanges on international markets are called Global Depositary Receipt (GDR) (Choi & Kim, 2000). Investors can buy the company shares in the local market or the United States or global markets
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