Dampak Perubahan Satuan Perdagangan Dan Fraksi Harga Terhadap Likuiditas Saham

Endri Endri
Journal article MIX: Jurnal Ilmiah Manajemen • 2016 Indonesia

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(Bahasa Indonesia, 14 pages)

Abstract

: On January 6, 2014, the Indonesia Stock Exchange (IDX) implemented new lotsize and tick size: 500 shares per lot become 100 shares per lot, and five ticks (Rp1, Rp5,Rp10, Rp25, Rp50) become three ticks (Rp1, Rp5, Rp25). The main purposes of theimplementation of the new lot size and tick size are to boost liquidity and marketcapitalization, and to boost exchange competitiveness. Using daily data, non parametric signtest and parametric paired samples t-test, this study finds the new policy significantly reducesbid-ask spread and market depth, but doesn't impact trading volume. From the viewpoint ofwidth and immediacy, stock liquidity is enchanced; but from the viewpoint of depth, stockliquidity is diminished. To resolve these contradictory results, trading volume is used forcomparison. The reduction of bid-ask spread is not followed by the enhancement of tradingvolume, meanwhile bid-ask spread in its relation with transaction cost should be negativelycorrelated with trading volume.

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MIX: Jurnal Ilmiah Manajemen

MIX: Jurnal Ilmiah Manajemen adalah jurnal ilmiah bidang studi manajemen organisasi, pemasaran, d... see more