Pengaru perubahan tick size terhadap kualitas pesan bEJ

Hartono, Tri (adv. Dr. Jogiyanto, MBA), Dr. Jogiyanto, MBA

2013 | Tesis | S2 Management

Penelitian ini menunjukkan suatu analisis tentang pengaruh perubahan tick size terhadap kualitas pasar di Bursa Efek Jakarta dengan mengguDakan data intraday. Statistik parametric paired t test dan Wilcoxon signed ranks test digooakan untuk menguji hipotesis perbedaan rata-rata dua sampel untuk variabel spread, market depth dan volwne perdagangan. Analisis regresi berganda digunakan untuk menguji hubungan antara harga saham, frekuensi perdagangan dan volatilitas saham terhadap spread dan market depth.

Hasil penelitian menunjukkan bahwa kualitas pasar yang didefinisikan dengan spread, market depth dan volwne perdagangan meningkat setelah adanya perubahan tick size. Peningkatan kualitas pasar terbesar ditemukan pada saham-saham berharga sedang.

This research presents an analysis of the impact of tick size change on market quality on Jakarta Stock Exchange by using intraday data. A parametric paired t test and Wilcoxon signed ranks test are used to test some hypothesis about the difference between two samples means for spread, market depth and trading volume variables. The multiple regression analysis is used to examine the relation of stock price, trading frequency, stock volatility to spread and market depth.

Thefindings of the research show that the market quality, defined in terms of spread, market depth and trading volume increases after a change in tick size. The biggest improvement in the market quality isfound in medium-level stocks.

Kata Kunci : tick size, kualitas pesan bEJ