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The Shrinking Trade: Average Trade Size, Retail Dominance, and the CrossSection of Liquidity, Volatility, and Return Dynamics on the Indonesia Stock Exchange

Jurnal Dinamika Manajemen · Vol. 17 No. 2 (2026) · pp. 341–362

DOI
10.15294/jdm.v17i2.58858
ISSN
2337-5434
Published
2026-09-01
Publisher
Universitas Negeri Semarang
Language
eng

Abstract

Average trade size, daily turnover divided by the daily number of trades, offers a direct and replicable footprint of retail participation in markets where signed order-flow data do not exist. Constructing this measure for 658 Indonesian listed stocks over 338 trading days between December 2024 and May 2026 (210,467 stock-days), we document four facts. Average trade size varies by a factor of 33 across firms, from under Rp0.9 million to Rp29 million per trade, and the exchange-wide median fell 42 percent within our seventeen-month window, from Rp3.4 million to below Rp2.0 million. Stocks with smaller trades display sharply higher intraday price dispersion, higher daily volatility, and an order of magnitude worse Amihud illiquidity, within sector and after controlling for size and price. Weekly returns continue rather than reverse, but the continuation is concentrated in large-trade stocks; retail-dominated stocks show autocorrelation indistinguishable from zero, a gap of 0.049 (t = 3.13) consistent with noisetrader reversal offsetting drift. Exchange-flagged distressed issuers carry 0.16 points higher intraday dispersion conditional on trade size. The results position trade size as a low-cost surveillance statistic for retail-heavy emerging markets.

Keywords

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Shanty OktaviliaAffiliation unknown2

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Metadata source: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/journals/jdm/oai, first harvested 6 Nov 2026, last seen 8 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">The Shrinking Trade: Average Trade Size, Retail Dominance, and the CrossSection of Liquidity, Volatility, and Return Dynamics on the Indonesia Stock Exchange</dc:title>
	<dc:creator xml:lang="en">Arfinto, Erman Denny</dc:creator>
	<dc:creator xml:lang="en">Indi, Rifka </dc:creator>
	<dc:creator xml:lang="en">Hasyim, Ageng Cokro Syahid </dc:creator>
	<dc:creator xml:lang="en">Andimono, Kevin Kayana </dc:creator>
	<dc:subject xml:lang="en">IDX</dc:subject>
	<dc:subject xml:lang="en">Intraday Dispersion</dc:subject>
	<dc:subject xml:lang="en">Liquidity</dc:subject>
	<dc:subject xml:lang="en">Market Design</dc:subject>
	<dc:subject xml:lang="en">Retail Investors</dc:subject>
	<dc:subject xml:lang="en"> Trade Size</dc:subject>
	<dc:description xml:lang="en">Average trade size, daily turnover divided by the daily number of trades, offers a direct and replicable footprint of retail participation in markets where signed order-flow data do not exist. Constructing this measure for 658 Indonesian listed stocks over 338 trading days between December 2024 and May 2026 (210,467 stock-days), we document four facts. Average trade size varies by a factor of 33 across firms, from under Rp0.9 million to Rp29 million per trade, and the exchange-wide median fell 42 percent within our seventeen-month window, from Rp3.4 million to below Rp2.0 million. Stocks with smaller trades display sharply higher intraday price dispersion, higher daily volatility, and an order of magnitude worse Amihud illiquidity, within sector and after controlling for size and price. Weekly returns continue rather than reverse, but the continuation is concentrated in large-trade stocks; retail-dominated stocks show autocorrelation indistinguishable from zero, a gap of 0.049 (t = 3.13) consistent with noisetrader reversal offsetting drift. Exchange-flagged distressed issuers carry 0.16 points higher intraday dispersion conditional on trade size. The results position trade size as a low-cost surveillance statistic for retail-heavy emerging markets.</dc:description>
	<dc:publisher xml:lang="en">Universitas Negeri Semarang</dc:publisher>
	<dc:date>2026-09-01</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unnes.ac.id/journals/jdm/article/view/58858</dc:identifier>
	<dc:identifier>10.15294/jdm.v17i2.58858</dc:identifier>
	<dc:source xml:lang="en">Jurnal Dinamika Manajemen; Vol. 17 No. 2 (2026): September; 341-362</dc:source>
	<dc:source>2337-5434</dc:source>
	<dc:source>10.15294/jdm.v17i2</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.unnes.ac.id/journals/jdm/article/view/58858/11692</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2026 Jurnal Dinamika Manajemen</dc:rights>
</oai_dc:dc>