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Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX)

We study the liquidity premium persistence in the Indonesia Stock Exchange employing Liu (2006) liquidity measure, LMx from 2006 to 2010. This research attempts to reveal the liquidity premium dynamics during the tranquil and volatile period in the Indonesia Stock Exchange. It is found that the liquidity premium exist only in the short period during 2008 crisis. The remaining period under investigation fails to provide significant evidence of liquidity premium in the Indonesia Stock Exchange.