DAMPAK PERUBAHAN SATUAN PERDAGANGAN DAN FRAKSI HARGA TERHADAP LIKUIDITAS SAHAM
Kata Kunci:
Keywords, Indonesia Stock Exchange, liquidity, lot size, tick size, bid-ask spread, market depth, trading volumeAbstrak
Abstract: On January 6, 2014, the Indonesia Stock Exchange (IDX) implemented new lot
size 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 the
implementation of the new lot size and tick size are to boost liquidity and market
capitalization, and to boost exchange competitiveness. Using daily data, non parametric sign
test and parametric paired samples t-test, this study finds the new policy significantly reduces
bid-ask spread and market depth, but doesn’t impact trading volume. From the viewpoint of
width and immediacy, stock liquidity is enchanced; but from the viewpoint of depth, stock
liquidity is diminished. To resolve these contradictory results, trading volume is used for
comparison. The reduction of bid-ask spread is not followed by the enhancement of trading
volume, meanwhile bid-ask spread in its relation with transaction cost should be negatively
correlated with trading volume.
Keywords: Indonesia Stock Exchange, liquidity, lot size, tick size, bid-ask spread, market
depth, trading volume
Abstrak: Pada 6 Januari 2014, Bursa Efek Indonesia (BEI) memberlakukan satuan
perdagangan dan fraksi harga baru, yaitu dari 500 lembar saham menjadi 100 lembar saham
per lot, dan dari lima fraksi harga (Rp1, Rp5, Rp10, Rp25, Rp50) menjadi tiga fraksi harga
(Rp1, Rp5, Rp25). Tujuan utama pemberlakukan satuan perdagangan dan fraksi harga baru
ini adalah untuk meningkatkan likuiditas dan kapitalisasi pasar serta untuk meningkatkan
daya saing Bursa. Dengan data harian, non parametric sign test dan parametric paired
samples t-test, penelitian ini menemukan bahwa kebijakan baru ini menurunkan bid-ask
spread dan market depth secara signifikan, namun tidak memengaruhi volume perdagangan.
Dari sudut pandang width dan immediacy, likuiditas saham mengalami peningkatan; namun
dari sudut pandang depth, likuiditas saham mengalami penurunan. Untuk menarik
kesimpulan dari dua hasil yang berbeda ini, digunakan volume perdagangan sebagai
pembanding. Penurunan bid-ask spread ternyata tidak diikuti oleh peningkatan volume
perdagangan, padahal bid-ask spread dalam kaitannya dengan biaya transaksi seharusnya
berkorelasi negatif dengan volume perdagangan. Oleh sebab itu disimpulkan bahwa tidak
terjadi peningkatan likuiditas setelah pemberlakuan kebijakan baru tersebut.
Kata Kunci: Bursa Efek Indonesia, likuiditas, satuan perdagangan, fraksi harga, bid-ask
spread, market depth, volume perdagangan
Unduhan
Cara Mengutip
Terbitan
Bagian
Lisensi
The copyright to this article is transferred to Universitas Mercu Buana (UMB) if and when the article is accepted for publication. The undersigned hereby transfers any and all rights in and to the paper including without limitation all copyrights to UMB. The undersigned hereby represents and warrants that the paper is original and that he/she is the author of the paper, except for material that is clearly identified as to its original source, with permission notices from the copyright owners where required. The undersigned represents that he/she has the power and authority to make and execute this assignment.
We declare that this paper has not been published in the same form elsewhere.
Furthermore, I/We hereby transfer the unlimited rights of publication of the above mentioned paper in whole to UMB. The copyright transfer covers the right to reproduce and distribute the article, including reprints, translations, photographic reproductions, microform, electronic form (offline, online) or any other reproductions of similar nature.
The corresponding author signs for and accepts responsibility for releasing this material on behalf of any and all co-authors. This agreement is to be signed by at least one of the authors who have obtained the assent of the co-author(s) where applicable. After submission of this agreement signed by the corresponding author, changes of authorship or in the order of the authors listed will not be accepted.
Retained Rights/Terms and Conditions
Although authors are permitted to re-use all or portions of the Work in other works, this does not include granting third-party requests for reprinting, republishing, or other types of re-use.
