Yuztitya, Asmaranti and Lindrianasari, Lindrianasari (2019) Tick Size and Investor Reactions: A Study of Indonesia. Review of Integrative Business and Economics Research, 8 (S2). pp. 273-282. ISSN 2304-1013

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In May 2016, the Indonesia Stock Exchange announced the change of tick size from three to five fractions. This study examined the effect of tick size changes on investor reactions in Indonesia. By using paired sample t-test, we tested whether there was a significant difference between investor reactions before and after the change of tick size. The result of this research showed that there was no significant difference in abnormal return, stock trading transactions, stock trading volume and risk before and after that event. This study proved that abnormal return after that event was lower than before. The value content of the new information would be reflected in the price of the securities. Thus, it would be very difficult for investors to get above normal profit levels consistently. The average stock trading transactions after that event was relatively higher. This showed that there was an increase in demand for stocks although the increase was not significant. We found that stock trading volume increased after that event. That indicated that the stock was in demand by investors. The tick size change caused the variation of the supply and demand price to be greater so that it would increase the risk. Keywords: Abnormal Return, Risk, Stock Trading Transactions, Stock Trading Volume, Tick Size.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis (FEB) > Prodi Akuntansi
Depositing User: YUZTITYA A
Date Deposited: 01 Aug 2019 07:24
Last Modified: 01 Aug 2019 07:24
URI: http://repository.lppm.unila.ac.id/id/eprint/13330

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