Idiosyncratic Risk Volatility: Stock Price Informativeness or Price Error?

Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study the first to explain concepts through an information environment approach and examination of asymmetry. aims analyze phenomenon risk whether it related price informativeness or error, by considering environment. We identified based liquidity levels stock risk. Our research revealed relationship between asymmetry using a sample 499 companies listed Indonesia Stock Exchange during period 2017–2019. One thousand, two hundred twenty-nine (firm_year) observation data were obtained. The dependent variable was volatility, independent used consisting liquidity, risk, findings this are expected contribute literature showing how can predict development environment, latter consequence Moreover, should also complement views that concept equivalent errors; has been carried out previous studies.