Penurunan tick size di Bursa Efek Jakarta

PURWOTO, Lukas, Dr. Eduardus Tandelilin, MBA

2001 | Tesis | S2 Manajemen

Pada tanggal 3 Juli 2000, Bursa Efek Jukurtu (BE4 menurunkun tick sizenyu duri Rp 25 menjudi Rp 5. Penelitiun ini menguji penguruh peristiwu ini terhudup bid-ask spread, market depth, uktivitus perdugungun, dun volutilitus. Dengun menggunukun data harian, penelitian ini menemukan bahwa spread signifikan menurun. Depth dan volatilitas juga signifikan menurun. Akan tetapi, aktivitas perdagangan tidak signifikan meningkut. Lebih juuh, penurunun terbesur dulum spread dun depth ditemukun pudu suhuni-suhum hurga renduh dun uktf diperdugungkun. Temuun-temuun ini uduluh tiduk mengejutkun kurenu konsisten dengun temuun studi-studi terduhulu di berbugui pusur modal berbedu. Berbedu dengun stud terduhulu, penelitiun ini menemukun buhwu seluruh ukurun uktivitus perdugungun, yuitu.fiekuensi, volume lembur, dun volume rupiah perdugungun, meningkut unt uk suhum-suhum berhmgu rmduk. Sebuliknyu, uktivitus perdugungun ditemukun menurun untuk suham-suhum berhurgu lebih tinggi. Penjelusun yung mungkin udululi tick size Rp 5 terlulu kecil artinya secara ekonomis bagi saham-saham harga tinggi sehinggu menurunkun kemauan investor untuk berdugung. Dengun menghitung rusio depth terhudup spread sehugui ukurun biuyu perdagungun netto, husil-husil jugu menunjukkun buhwa vuriubel kunci yung menentukun perbeduun kinerja suhum-suhum BFJ seteluh penurunun tick size uduluh hargu suhum. Oleh kurenu itu, penelitiun ini menyimpulkun penurunan tick six di BLJ meningkatkan likuiditus saham-saham harga rendah, tetapi menurunkan likuiditas suhum-suhum hurgu tinggi. Keseluruhan hasil menyarankan bahwa tick size Rp 5 adalah baik bagi saham-saham harga rendah tetapi tidak bagi saham-saham harga tinggi.

On July 3, 2000, the Jakarta Stock Exchange (JSX) reduced its tick size from Rp2.5 to Rp.5. This study examines the impact of this event on bid-ask spread, market depth, trading activity, and volatility. Using daily data, this study finds that the spreads decreased significantly. Depths and volatility also decreased significantly. Trading activities, however, are not increased significantly. Furthermore, the reduction in spreads and depths was found to be greater an lower priced and actively traded stocks. All these findings are not surprising since they are consistent with previous studies conducted in several diferent markets. In contrast to previous studies, this study finds that all the trading activity meusures e.g. in the number of trades, share volume, and rupiah volume, increused for lower priced stocks. Conversely, trading activities decreased for higher priced stocks. The possible explanation is the absolute tick size Rp5 is too small in economic terms for JSX higher priced stocks, so those decrease the investor’s willingness to trade. By calculating the depth to spread ratios as measures of the changes of net trading cost, the results also shows that the key variable in determining the diference in performance of JSX stocks following the tick size reduction is the price of the stock. Therefore, this study conclude that the tick size reduction on the JSX increased the liquidity of lower priced stocks, but decreased the liquidity of higher priced stocks. These overall results suggest that a tick size of Rp.5 is better for lower priced stocks, but worse for higher priced stocks.

Kata Kunci : Tick Size, BEJ, Tick size, Liquidity, .Jakarta Stock Exchange.