DUA BURSA, SATU SAHAM: PENGARUH KURS RUPIAH DAN LIKUIDITAS PADA ARBITRASE TELKOM IDX DAN ADR

Authors

  • Yohanes Vianney Ario Nugroho Universitas Dian Nuswantoro
  • Nawwaf Raihan Ryant Mahendra Universitas Dian Nuswantoro
  • Desy Dwi Ariyani Universitas Dian Nuswantoro

Keywords:

Nilai Tukar, Likuiditas Perdagangan, Arbitrase Saham, ADR

Abstract

This study analyzes the relationship between the Rupiah exchange rate, trading liquidity, and cross-market stock arbitrage, using PT Telekomunikasi Indonesia (Persero) Tbk listed on the Indonesia Stock Exchange (IDX) and as American Depositary Receipts (ADR) on the New York Stock Exchange (NYSE). Monthly data from January 2023 to December 2025 are analyzed using multiple linear regression. The results show that the Rupiah exchange rate has a negative and significant effect on arbitrage opportunities, indicating that fluctuations in the exchange rate tend to reduce potential gains from cross-market price differences. Trading liquidity also has a negative and significant effect, suggesting that higher liquidity accelerates price adjustments across markets. Simultaneously, both variables significantly influence cross-market stock arbitrage.

References

Aprilliantoni, A., & Jimale, F. A. (2024). The Exchange Rate Of The Rupiah In Indonesia: Volatility And Economic Stability. Jurnal Ilmu Ekonomi Dan Pembangunan, 24(2), 125–130. https://doi.org/10.20961/JIEP.V24I2.94511

Arikunto, S. (1998). Prosedur penelitian suatu pendekatan praktek. In (No Title). Retrieved from https://cir.nii.ac.jp/crid/1970304959961419959

Atanasova, C., & Li, M. (2018). Multi-market trading and liquidity: Evidence from cross-listed companies. Journal of International Financial Markets, Institutions and Money, 53, 117–138. https://doi.org/10.1016/J.INTFIN.2017.09.015

Awwaliyah, I. N., Viverita, V., Wibowo, B., & Husodo, Z. A. (2017). Here and There: Cross-border Evidence of Commonality in Liquidity of ADR in Asia Pacific. Pertanika J. Soc. Sci. & Hum, 25, 99–116.

Aziz, A., & Yetty, F. (2016). Stock Price Behavior in Dual Listing Stock on the Indonesia Stock Exchange and Newyork Stock Exchange. IOSR Journal of Business and Management, 18(2), 130–136. https://doi.org/10.9790/487X-1821130136

Gagnon, L., & Karolyi, G. A. (2010). Multi-Market Trading and Arbitrage. Journal of Financial Economics, 97(1). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=577004

Ghadhab, I. (2018). Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. Journal of Multinational Financial Management, 46, 1–10. https://doi.org/10.1016/j.mulfin.2018.07.002

IMF. (2021). Indonesia: Selected Issues. IMF Staff Country Reports, 2021(047). https://doi.org/10.5089/9781513570860.002.A005

Jong, A. de, Rosenthal, L., & Dijk, M. A. van. (2009). The Risk and Return of Arbitrage in Dual-Listed Companies. Review of Financial Studies, 13(1), 37. https://doi.org/10.1093/RFS/HHN027

Lily, J., Bujang, I., & Karia, A. A. (2022). The Impact Of Thin Trading Adjustments On Exchange Rate Exposure. Gadjah Mada International Journal of Business, 24(2), 127–150. https://doi.org/10.22146/GAMAIJB.36806

Manurung, A. H., Machdar, N. M., Simanjuntak, J. M., & Manurung, A. (2024). Determinant of Market Liquidity in Indonesia. Account and Financial Management Journal, 9(5), 3322–3327. https://doi.org/10.47191/AFMJ/V9I5.01

Oktavia, F. eka widi, & Khairiyah, D. (2023). Pengaruh Inflasi, Nilai Tukar Rupiah, Dan Likuiditas Terhadap Harga Saham Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia (Studi Kasus Pada Perusahaan Yang Termasuk Dalam Indeks Lq45 Periode 2018 – 2020). Jurnal Akuntansi, Keuangan Dan Teknologi Informasi Akuntansi, 4(1), 84–96. https://doi.org/10.36085/JAKTA.V4I1.4849

Poutré, C., Dionne, G., & Yergeau, G. (2022). International High-Frequency Arbitrage for Cross-Listed Stocks.

Poutré, C., Dionne, G., & Yergeau, G. (2023). International high-frequency arbitrage for cross-listed stocks. International Review of Financial Analysis, 89, 102777. https://doi.org/10.1016/J.IRFA.2023.102777

Rösch, D. (2020). The Impact of Arbitrage on Market Liquidity. SSRN Electronic Journal. https://doi.org/10.2139/SSRN.2295437

Syamni, G., Sawitri, S., Ansari, R., Rasyimah, R., & Husaini, H. (2022). Exchange Rate, Stock Return, and Bond Return in Indonesia: An ARDL Approach. Jurnal Keuangan Dan Perbankan, 26(4), 874–891. https://doi.org/10.26905/JKDP.V26I4.8398

Tandelilin, E. (2017). Pasar Modal: Manajemen Portofolio dan Investasi. Retrieved from https://books.google.co.id/books?hl=en&lr=&id=EcjnEAAAQBAJ&oi=fnd&pg=PR5&dq=Tandelilin+2017+Portofolio+dan+Investasi&ots=gbvcgNzXQz&sig=4-Qu9vJPF8TFjDqltmi1pbc_qYk&redir_esc=y#v=onepage&q=Tandelilin 2017 Portofolio dan Investasi&f=false

Yeyati, E. L., Schmukler, S. L., & Van Horen, N. (2009). International financial integration through the law of one price: The role of liquidity and capital controls. Journal of Financial Intermediation, 18(3), 432–463. https://doi.org/10.1016/j.jfi.2008.09.004

Zarei, A., Ariff, M., & Bhatti, M. I. (2019). The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies. The European Journal of Finance. https://doi.org/10.1080/1351847X.2019.1589550

Downloads

Published

2026-05-28

How to Cite

Nugroho, Y. V. A., Mahendra, N. R. R., & Ariyani, D. D. (2026). DUA BURSA, SATU SAHAM: PENGARUH KURS RUPIAH DAN LIKUIDITAS PADA ARBITRASE TELKOM IDX DAN ADR. Jurnal Manajemen Dan Dinamika Bisnis (JMDB), 5(1), 38–53. Retrieved from https://publikasi.dinus.ac.id/JMDB/article/view/15785

Issue

Vol. 5 No. 1 (2026): JMDB (Jurnal Manajemen dan Dinamika Bisnis)

Section

Articles

License

Copyright (c) 2026 Jurnal Manajemen dan Dinamika Bisnis (JMDB)

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Authors who publish with this journal agree to the following terms:

  1. The journal allow the authors to hold the copyright without restrictions and allow the authors to retain publishing rights without restrictions. 
  2. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  3. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  4. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
  5. Creative Commons License
    This work is licensed under a Creative Commons Attribution 4.0 International License.  Which means you are free to:
    • Share - copy and redistribute the material in any medium or format
    • Adapt - remix, transform, and build upon the material for any purpose, even commercially.
  1.  

Most read articles by the same author(s)