Reaksi Pasar Atas Turnover Saham Dalam Daftar Indeks LQ 45: Analisis Abnormal Return dan BID/Ask Spread

RR. Srirahmawati (adv.: Dr. Jogiyanto, HM., MBA), Dr. Jogiyanto, HM., MBA

2001 | Tesis | S2 Accounting

This study is designed to examine the market reaction, as measured by the abnormal returns and the bid/ask spread, on the stocks turnover in LQ 45 Index List announcements. The sample consists of 54 included stocks and 53 excluded stocks in the index during July 1997 until July 2000.

The results of the event study analysis present that the abnormal returns on the included stocks are statistically positive and significant around the announcement dates while the abnormal returns on the excluded stocks are statistically negative and significant. Further, the Wilcoxson Signed Ranks Test results the empirical evidences that the relative and adjusted bid/ask spread will go down after the stock inclusion. The decrease in relative and adjusted bid/ask spread for included stocks are attributed to the market expectation of the increasing stocks liquidity and the reduction in the information asymmetry. However, the findings for the excluded stocks do not support the hypothesis that adjusted bid/ask spread will increase after the stock exclusion while the hypothesis that relative bid/ask spread will increase is supported. These findings indicate that the excluded stocks do not affect the information asymmetry of these stocks

Kata Kunci : market reaction, abnormal return, relative and adjusted bid/ask spread, included stock, excluded stocks, event study analysis, Wilcoxson signed ranks test, and information asymmetry