This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By … looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which … coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the …

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …