The Impact of Stock Market Liquidity on Liquidity Creation of Listed Banks Introduction

Abstract

This study aims to determine the impact of stock market liquidity on the liquidity creation of go-public banks listed on the Indonesia Stock Exchange. The measurement of stock market liquidity is using the quoted bid-ask spread, Amihud's illiquidity ratio, and zero return days. The type of research used in this research is descriptive quantitative. The regression used in this study is dynamic panel data regression. This study uses secondary data with a population of 46 go-public banks. The selected sample was 38 banks, namely banks that consistently published annual financial reports during the 2017-2021 period and had trading volume during the observation period. The results of the study show that the impact of stock market liquidity on the liquidity creation of go-public banks differs according to indications. When using the quoted bid ask spread it shows a positive effect but not significant. Using Amihud's illiquidity ratio shows a positive and significant effect. Meanwhile, using zero return days shows a negative and insignificant effect.