This research studies the trading activity of type of traders through their brokers. Order imbalance is believed to be a better proxy for explaining trading activity. This paper presents some empirical test that on brokerage level analysis exhibit information paradigm in Indonesia which market makers and specialist are not available. We divide imbalances into groups of samples (all stocks and most liquid stocks), trader type (foreign or domestic) and size of brokerage firm (small to big). Our results show that order imbalances generally have a positive serial correlation for all the traders and brokers analyzed. However, we find that the determinant of order imbalances is a particular phenomenon at the brokerage level, whose results differ from our market-wide analysis. We do not find that previous order imbalances can predict market returns across trader type and brokerage class. In contrast, for the inventory paradigm, the evidence from the brokerage level analysis indicates that information dissemination is induced order imbalance by brokerage house.

中文翻译：

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高频交易活动和经纪公司的影响：来自印尼证券交易所的经验证据

这项研究研究了通过其经纪人进行的交易者类型的交易活动。订单不平衡被认为可以更好地解释交易活动。本文提出了一些实证检验，即对经纪人水平的分析显示了印度尼西亚的信息范式，而没有做市商和专家。我们将失衡分为样本组（所有股票和大多数流动股票），交易者类型（外国或国内）和经纪公司的规模（从小到大）。我们的结果表明，对于所有分析的交易者和经纪人来说，订单失衡通常具有正序列相关性。但是，我们发现，订单不平衡的决定因素是经纪一级的一种特殊现象，其结果与我们的整个市场分析不同。我们发现以前的订单失衡并不能预测交易者类型和经纪人类别的市场回报。相反，对于库存范式，经纪水平分析的证据表明，信息传播是由经纪行引起的订单不平衡。