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Perbedaan likuiditas saham sebelum dan sesudah perubahan lot size dan tick size di bursa efek indonesia tahun 2014 (studi pada saham indeks lq45 periode agustus 2013)

Buhokan, Antony (2015) Perbedaan likuiditas saham sebelum dan sesudah perubahan lot size dan tick size di bursa efek indonesia tahun 2014 (studi pada saham indeks lq45 periode agustus 2013). Bachelor Thesis thesis, Universitas Multimedia Nusantara.

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Abstract

On January 6, 2014, The Indonesia Stock Exchange (IDX) implemented a new lot size and tick size policy which reduced the lot size from 500 shares per lot to 100 shares per lot and reduced tick size of various price categories. This new policy was intended to improve the liquidity of shares in the market. This research is conducted to compare the liqudity of the stock market to prove whether there are improvements after the new policy implementation. Liquidity is measured by volume, frequency, relative spread, and depth. The sample used in this research are LQ45 stocks which represent almost overall condition of Indonesia stock market. The data taken is daily trading data of forty trading days period before the event (November 2013 – January 2014) and after the event (January 2014 – March 2014). Using nonparametric Wilcoxon signed-rank test for the hypothesis testing, this study finds that there are differences in liquidity before and after the lot size and tick size change. Volume and frequency of trading increased after the event which means more liquid stocks. Relative spread reduced simultaneously with the bid and ask depth which is contrary to liqudity improvement. The contradictory result is resolved using the ratio of depth-to-relative spread, and the new lot size and tick size policy is statistically proven improves stock liquidity.

Item Type: Thesis (Bachelor Thesis)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD2321-4730.9 Industry
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management > HD56-57.5 Industrial productivity
Divisions: Fakultas Bisnis > Program Studi Manajemen
Depositing User: mr admin umn
Date Deposited: 16 Jun 2017 01:53
Last Modified: 08 Aug 2017 09:14
URI: http://kc.umn.ac.id/id/eprint/337

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