Modification of Contemporaneous and Causality Model of Stock Trading Measured by Depth, Volatility, Trading Volume and Bid-Ask Spread (Study Case: Jakarta Islamic Index)

Capital market is a market where securities such as shares and bonds are issued to raise medium to long-term financing, and where the securities are traded. The information trading stocks obtained is required by capital market actors in decision making. This paper empirically examines the relationship among several financial variables, i.e. depth, stock return, trading volume and bid-ask spread for 28 stocks in Jakarta Islamic Index (JII). Furthermore, the contemporaneous relationship and causal relationship between the financial variables are presented. The Granger causality test result show that the information contents of depth, trading volume and bid-ask spread are useful for predicting stock return in JII.