MARKET MICROSTRUCTURE THEORY: FIXED EFFECT MODEL APPROACH ON COMPANY FUNDAMENTALS PROFITABILITY

Wiara Sanchia Grafita Ryana Devi; Ferry Arfiansyah; Rengga Madya Pranata; Indriana Damaianti; Mita Kharisma

doi:10.56327/signaling.v13i1.1682

MARKET MICROSTRUCTURE THEORY: FIXED EFFECT MODEL APPROACH ON COMPANY FUNDAMENTALS PROFITABILITY

Wiara Sanchia Grafita Ryana Devi⁽¹⁾, Ferry Arfiansyah⁽²⁾, Rengga Madya Pranata⁽³⁾, Indriana Damaianti⁽⁴⁾, Mita Kharisma⁽⁵⁾,

(1) Universitas Insan Cendikia Mandiri, Bandung, Jawa Barat
(2) Universitas Pendidikan Indonesia, Bandung, Jawabarat.
(3) Universitas Buana Perjuangan Karawang, Karawang, Jawa Barat
(4) Universitas Insan Cendikia Mandiri, Bandung, Jawa Barat
(5) Telkom University, Kabupaten Bandung, Jawa Barat

Corresponding Author

Abstract

The concept of market microstructure, or market microstructure theory, examines the dynamics behind the formation of stock prices in Indonesia. There are three primary categories that may be used to categorize the many explanations offered by academics and researchers on the processes that lead to the establishment of stock prices on the Exchange. In this work, a quantitative methodology is utilized to evaluate hypotheses and confirm market microstructure theory, and signal theory. This research makes use of secondary data, namely information gleaned from the Indonesia Stock Exchange for the years 2017-2020. The data in question cover the period of time. The State-Owned Enterprises (BUMN) group, of which the research sample is a member, provides the sample for this study. The findings of the study indicate that there is a connection between fundamentals and profitability.

Keywords

Market Microstructure Theory, Fundamentals, Profitability

References

Agustin Dyah Utami, R. A. T. (2011). Pemanfaatan Blackberry Sebagai Sarana Ajmera, B. (2019). An Empirical Study on Effect of Capital Structure on Financial Performance of Paper Manufacturing Companies in India : Penal Data Analysis. 9(3), 18–25.

Allen, F., & Gorton, G. (1993). Churning bubbles. The Review of Economic Studies, 60(4), 813-836.

Asay, H. S., Elliott, W. B., & Rennekamp, K. (2017). Disclosure Readability and the Sensitivity of Investors’ Valuation Judgments to Outside Information. The Accounting Review, 92(4), 1–25.

Barth, M. E. (2018). The future of financial reporting: Insights from research. Abacus, 54(1), 66-78.

Caldentey, R., & Stacchetti, E. (2010). Insider trading with a random deadline. Econometrica, 78(1), 245-283.

Chandra, T., Junaedi, A. T., Wijaya, E., Suharti, S., Mimelientesa, I., & Ng, M. (2019). The effect of capital structure on profitability and stock returns: Empirical analysis of firms listed in Kompas 100. Journal of Chinese Economic and Foreign Trade Studies.

Collin-Dufresne, P., & Fos, V. (2016). Insider Trading, Stochastic Liquidity, and Equilibrium Prices. Econometrica, 84(4), 1441–1475

Dang, T. V., Gorton, G., & Holmström, B. (2020). The information view of financial crises. Annual Review of Financial Economics, 12, 39-65.

ElBannan, M. A. (2021). On the prediction of financial distress in emerging markets: What matters more? Empirical evidence from Arab spring countries. Emerging Markets Review, 47, 100806.

Francis, J., & Schipper, K. (1999). Have financial statements lost their relevance?. Journal of accounting Research, 37(2), 319-352.

Hail, L. (2013). Financial reporting and firm valuation: relevance lost or relevance regained?. Accounting and Business Research, 43(4), 329-358.

Hapsoro, D., & Husain, Z. F. (2019). Does sustainability report moderate the effect of financial performance on investor reaction? Evidence of Indonesian listed firms. International Journal of Business, 24(3), 308-328.

Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of accounting and economics, 31(1-3), 405-440.

Hidayah, Arifatul (2021). Pengaruh Rasio Keuangan Terhadap Keputusan Investasi Pada Saham. Artikel Ilmiah

Lepone, A., & Wong, J. B. (2017). Pseudo market-makers, market quality and the minimum tick size. International Review of Economics & Finance, 47, 88-100.

Lescourret, L., & Moinas, S. (2022). Market Microstructure in Practice. Journal of Quantitative Finance. https://doi.org/10.1080/14697688.2022.2080103[18].

Liu, Z., Huang, D., Huang, K., Li, Z., & Zhao, J. (2021, January). Finbert: A pre-trained financial language representation model for financial text mining. In Proceedings of the Twenty-Ninth International Conference on International Joint Conferences on Artificial Intelligence (pp. 4513-4519).

Lobo, G.J., Zhou, J.J. (2001), Disclosure quality And earnings management. Asia-Pacific Journal of Accounting and Economics, 8(1), 1-20.

Myers, S. C. (1989). Still searching for optimal capital structure. Are the distinctions between debt and equity disappearing, 80-95.

Ningrum, A. S., & Mahardika, D. P. K. (2021). Analisis Determinan Net Initial Return pada Perusahaan yang Melakukan IPO di Bursa Efek Indonesia. Jurnal Ilmiah Wahana Akuntansi, 16(1), 94-110.

Katmon, N., & Farooque, O. A. (2017). Exploring the impact of internal corporate governance on the relation between disclosure quality and earnings management in the UK listed companies. Journal of Business Ethics, 142(2), 345-367.

Prihatini, A. E., & Purbawati, D. (2021). Analisis kesehatan Keuangan dengan Menggunakan Metode Altman Z-Score Pada PT Tiga Pilar Sejahtera Food Tbk. Jurnal Administrasi Bisnis, 10(2), 155-164.

Putri, I. G. A. P. T. (2020). Effect of capital structure and sales growth on firm value with profitability as mediation. International Research Journal of Management, IT and Social Sciences, 145–155.

Putri, I. G. A. P. T., & Rahyuda, H. (2020). Effect of capital structure and sales growth on firm value with profitability as mediation. International Research Journal of Management, IT and Social Sciences, 7(1), 145–155.

Rahman, J., & Liu, R. (2021). Value relevance of accounting information and stock price reaction: Empirical evidence from China. Journal of Accounting and Management Information Systems, 20(1/2021), 5–27.

Rita, Dhyanasaridewi, I Gusti Ayu Diah; Saputor, Fikri Adi (2021). Analisa Rasio Keuangan Dalam Menentukan Keputusan Investasi. Jurnal Remittance, 02(02), 10-15

Penman, S. H. (1991). An evaluation of accounting rate-of-return. Journal of Accounting, Auditing & Finance, 6(2), 233-255.

Spence, A.M. (1974). Market signaling: Information transfer in hiring and related processes. Cambridge, MA:

Thornblad, D. B., Zeitzmann, H. K., & Carlson, K. D. (2018). Negative denominators in index variables: The vulnerability of return on equity, debt to equity, and other ratios. Electronic Journal of Business Research Methods, 16(1), 1-10. Harvard University Press

Full Text: PDF