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ANALISIS PRICE DISCOVERY SAHAM ALIBABA DI NYSE DAN HKEX

  • Novi Rosyanti Sekolah Vokasi IPB
  • Asty Khairi Inayah Syahwani Sekolah Vokasi IPB
  • Lesia Fatma Ginoga Sekolah Vokasi IPB
  • Resti Jayeng Ramadhanti Sekolah Vokasi IPB
  • Rahmat Saleh Sekolah Vokasi IPB
  • Iman Firmansyah Sekolah Vokasi IPB
DOI: https://doi.org/10.24123/jbt.v9i1.7384
Abstract Views: 128 times
PDF Downloads: 45 times
Keywords: Alibaba, Impulse Response Function, Information Share, Price Discovery, VECM

Abstract

This research analyzes the price discovery process of Alibaba shares traded on two major exchanges: the New York Stock Exchange (NYSE) with the ticker BABA and the Hong Kong Exchange (HKEX) with the ticker 9988. The methods used include the Vector Error Correction Model (VECM), Hasbrouck's Information Share (IS), and Impulse Response Function (IRF) to measure the relative contribution of each exchange in reflecting new information in stock prices. The results of the analysis show that the two exchanges have a strong long-term relationship, as indicated by the Johansen cointegration test. Based on the IS calculation, HKEX has a greater contribution to price discovery compared to NYSE, indicating that Alibaba's stock price reflects new information faster on HKEX. The IRF analysis shows that price shocks on one exchange have a significant impact on the other exchange in the short term, but the effect tends to diminish in the long term. These findings provide insight for investors in choosing a more efficient exchange for transactions and open up arbitrage opportunities based on the different roles of each exchange in price discovery.

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Published
2025-06-26
How to Cite
Rosyanti, N., Syahwani, A. K. I., Ginoga, L. F., Ramadhanti, R. J., Saleh, R., & Firmansyah, I. (2025). ANALISIS PRICE DISCOVERY SAHAM ALIBABA DI NYSE DAN HKEX . Jurnal Bisnis Terapan, 9(1), 109 - 122. https://doi.org/10.24123/jbt.v9i1.7384
Issue
Vol. 9 No. 1 (2025): Jurnal Bisnis Terapan
Section
Articles
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