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)
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[ABSTRAK Penelitian ini bertujuan untuk menguji pengaruh penurunan satuan perdagangandan fraksi harga yang dilakukan oleh pihak otoritas bursa Indonesia terhadaplikuiditas dan volatilitas pasar modal Indonesia. Metode yang digunakan dalampenelitian adalah metode statistik parametrik dimana likuiditas yang diukurberdasarkan bid-ask spread relative dan depth to relative spread (DRS) sementarauntuk volatilitas akan mengunakan parkinson volatility. Hasil penelitian inimembuktikan bahwa setelah penerapan kebijakan tersebut, untuk kategori emitenyang memiliki harga saham lebih besar dari Rp200 mengalami peningkatanlikuiditas yang ditandai dengan menurunnya market spread dan penurunanlikuiditas dengan menurunnya market depth serta terjadi penurunan volatilitas.Sementara untuk kategori emiten yang memiliki harga saham lebih kecil dariRp200 mengalami peningkatan likuiditas yang ditandai dengan penurunan marketspread dan peningkatan market depth serta volatilitas mengalami penurunan ABSTRACT The Objective of this research to analyse the effect of reduction in lot size and ticksize, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity andvolatility of the Indonesia capital market. This research use parametric statisticwhich liquidity will be measured based on bid-ask spread relative and depth torelative spread while volatility will be measured with Parkinson volatility. Theresults of this research show that after the implementation of the new policy, wefind significantly increase liquidity marked by declining market spreads, decreaseliquidity by declining market depth and decrease volatility for the companies withshare price greater than Rp200. While for the companies with share price smallerthan Rp200, we find significantly increase liquidity marked by declining marketspreads and increase market depth and decrease volatility.;The Objective of this research to analyse the effect of reduction in lot size and ticksize, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity andvolatility of the Indonesia capital market. This research use parametric statisticwhich liquidity will be measured based on bid-ask spread relative and depth torelative spread while volatility will be measured with Parkinson volatility. Theresults of this research show that after the implementation of the new policy, wefind significantly increase liquidity marked by declining market spreads, decreaseliquidity by declining market depth and decrease volatility for the companies withshare price greater than Rp200. While for the companies with share price smallerthan Rp200, we find significantly increase liquidity marked by declining marketspreads and increase market depth and decrease volatility., The Objective of this research to analyse the effect of reduction in lot size and ticksize, conducted by the Jakarta Stock Exchange (JSX) authorities, on liquidity andvolatility of the Indonesia capital market. This research use parametric statisticwhich liquidity will be measured based on bid-ask spread relative and depth torelative spread while volatility will be measured with Parkinson volatility. Theresults of this research show that after the implementation of the new policy, wefind significantly increase liquidity marked by declining market spreads, decreaseliquidity by declining market depth and decrease volatility for the companies withshare price greater than Rp200. While for the companies with share price smallerthan Rp200, we find significantly increase liquidity marked by declining marketspreads and increase market depth and decrease volatility.] |
 T-Harry Davidson Lumban Gaol.pdf :: Unduh
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| No. Panggil : | T-Pdf |
| Entri utama-Nama orang : | |
| Entri tambahan-Nama orang : | |
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| 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 |
| No. Panggil | No. Barkod | Ketersediaan |
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| T-Pdf | 15-18-103894074 | TERSEDIA |
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| Tidak ada ulasan pada koleksi ini: 20389998 |
