This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … 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 …

data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks …

expected return in Indonesia Stock Exchange (ISE). The idiosyncratic risk is proxy by idiosyncratic volatility, realized and … expected idiosyncratic volatility, as a natural proxy for this risk that only found in individual securities. The realized … realized idiosyncratic volatility on return is significantly positive. We also find that the effect of lagged idiosyncratic …