{"product_id":"speed-of-adjustment-volatility-and-noise-von-zaafri-husodo","title":"SPEED OF ADJUSTMENT, VOLATILITY AND NOISE","description":"\u003cp\u003eThis book contains three essays that explore the  speed of adjustment, volatility and noise in the  Indonesia Stock Exchange. The first essay found that  the significant factor determining the noise in the  speed of adjustment is bid-ask fluctuations. Further,  the adverse selection cost is found to be a  significant component determining the speed of  adjustment level in the Indonesia Stock Exchange. The  second essay analyses the exact time of adjustment at  intraday frequency from 2000 to 2007. Both first and  second moment estimation of the speed of adjustment  provide consistent result of 30 minute adjustment  period. The third essay analyses the second moment of  continuously compounded returns from 2000 to 2007.  Using the realized variance, the optimal frequency to  estimate the efficient variance, on average, is nine  minutes. Further, the variance ratio of daily  efficient variance to daily open-to-close reveals  significant private information underlying price  process in the Indonesia Stock Exchange.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838377506\"\u003e\u003ch3\u003eTHE INDONESIA STOCK EXCHANGE\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838377506","offer_id":39499053432925,"sku":"9783838377506","price":59.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/7039af5c-f269-4805-ab3b-5f19cad4333f.jpg?v=1775363848","url":"https:\/\/shop.autorenwelt.de\/en\/products\/speed-of-adjustment-volatility-and-noise-von-zaafri-husodo","provider":"Autorenwelt Shop","version":"1.0","type":"link"}