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Analisis perbedaan likuiditas dan volatilitas sebelum dan sesudah pemberlakuan perubahan satuan perdagangan dan fraksi harga ((Kep-00071/BEI/11-2013, Tanggal 8 November 2013) = Analysis of liquidity and volatility before and after lot size and tick size change (Kep-00071/BEI/11-2013, Tanggal 8 November 2013)

Lumban Gaol, Harry Davidson; Irwan Adi Ekaputra, supervisor; Dony Abdul Chalid, examiner; Junino Jahja, examiner ([;Fakultas Ekonomi dan Bisnis Universitas Indonesia, Fakultas Ekonomi dan Bisnis Universitas Indonesia], 2014)

 Abstrak

[ABSTRAK
Penelitian ini bertujuan untuk menguji pengaruh penurunan satuan perdagangan
dan fraksi harga yang dilakukan oleh pihak otoritas bursa Indonesia terhadap
likuiditas dan volatilitas pasar modal Indonesia. Metode yang digunakan dalam
penelitian adalah metode statistik parametrik dimana likuiditas yang diukur
berdasarkan bid-ask spread relative dan depth to relative spread (DRS) sementara
untuk volatilitas akan mengunakan parkinson volatility. Hasil penelitian ini
membuktikan bahwa setelah penerapan kebijakan tersebut, untuk kategori emiten
yang memiliki harga saham lebih besar dari Rp200 mengalami peningkatan
likuiditas yang ditandai dengan menurunnya market spread dan penurunan
likuiditas dengan menurunnya market depth serta terjadi penurunan volatilitas.
Sementara untuk kategori emiten yang memiliki harga saham lebih kecil dari
Rp200 mengalami peningkatan likuiditas yang ditandai dengan penurunan market
spread dan peningkatan market depth serta volatilitas mengalami penurunan

ABSTRACT
The Objective of this research to analyse the effect of reduction in lot size and tick
size, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity and
volatility of the Indonesia capital market. This research use parametric statistic
which liquidity will be measured based on bid-ask spread relative and depth to
relative spread while volatility will be measured with Parkinson volatility. The
results of this research show that after the implementation of the new policy, we
find significantly increase liquidity marked by declining market spreads, decrease
liquidity by declining market depth and decrease volatility for the companies with
share price greater than Rp200. While for the companies with share price smaller
than Rp200, we find significantly increase liquidity marked by declining market
spreads and increase market depth and decrease volatility.;The Objective of this research to analyse the effect of reduction in lot size and tick
size, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity and
volatility of the Indonesia capital market. This research use parametric statistic
which liquidity will be measured based on bid-ask spread relative and depth to
relative spread while volatility will be measured with Parkinson volatility. The
results of this research show that after the implementation of the new policy, we
find significantly increase liquidity marked by declining market spreads, decrease
liquidity by declining market depth and decrease volatility for the companies with
share price greater than Rp200. While for the companies with share price smaller
than Rp200, we find significantly increase liquidity marked by declining market
spreads and increase market depth and decrease volatility., The Objective of this research to analyse the effect of reduction in lot size and tick
size, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity and
volatility of the Indonesia capital market. This research use parametric statistic
which liquidity will be measured based on bid-ask spread relative and depth to
relative spread while volatility will be measured with Parkinson volatility. The
results of this research show that after the implementation of the new policy, we
find significantly increase liquidity marked by declining market spreads, decrease
liquidity by declining market depth and decrease volatility for the companies with
share price greater than Rp200. While for the companies with share price smaller
than Rp200, we find significantly increase liquidity marked by declining market
spreads and increase market depth and decrease volatility.]

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 Metadata

No. Panggil : T-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : Jakarta: [;Fakultas Ekonomi dan Bisnis Universitas Indonesia, Fakultas Ekonomi dan Bisnis Universitas Indonesia], 2014
Program Studi :
Bahasa : ind
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Deskripsi Fisik : xvi, 101 pages : illustration ; 30 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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T-Pdf 15-18-103894074 TERSEDIA
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