Saraswati, Niken Nurrahma (2017) Analisis Reaksi Pasar Akibat Perubahan Lot Size Policy (Studi Kasus Pada Saham Big Cap, Mid Cap Dan Small Cap Yang Terdaftar Di Bursa Efek Indonesia). Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk menganalisis dampak dari perubahan kebijakan Lot Size terhadap volume perdagangan saham dan abnormal return sebagai indikator reaksi pasar pada saham big cap, mid cap dan small cap di Bursa Efek Indonesia (BEI). Perubahan kebijakan Lot Size berlaku efektif sejak 6 Januari 2014 yang dituangkan melalui surat keputusan Direksi PT Bursa Efek Indonesia No.KEP-00071/BEI/11-2013. Metode penelitian menggunakan uji t dua sampel berpasangan (paired sample t-test) dengan teknik purposive sampling. Hasil penelitian menunjukkan terdapat perbedaan rata-rata volume perdagangan yang signifikan sebelum dan sesudah perubahan reduksi lot size pada saham big cap, mid cap dan small cap. Sedangkan hasil uji perbedaan rata-rata abnormal return diperoleh hasil yang signifikan pada saham mid cap, namun sebaliknya untuk saham big cap dan small cap. Sehingga hasil tersebut sesuai dengan tujuan dari perubahan reduksi lot size untuk mengurangi entry barrier bagi investor di pasar modal dengan melakukan diversifikasi saham untuk memperbaiki portofolio investasi.
English Abstract
This research aims to analyze the impact of Lot Size policy change on stock trading volume and abnormal return as an indicator of market reaction on big cap, mid cap and small cap stock in Indonesia Stock Exchange (IDX). The change of Lot Size policy has been effective since January 6, 2014 as stated in the decree of the Board of Directors of PT Bursa Efek Indonesia No.KEP-00071 / BEI / 11-2013. The research method uses paired sample t-test with purposive sampling technique. The result of the research shows there is a significant change of trade volume before and after the change of lot size reduction on big cap, mid cap and small cap stock. The average abnormal return test obtained a significant result on the stock of mid cap, but the results were not significant on big cap and small cap stock. So the results are in line with the purpose of changing the lot size reduction to decrease the entry barrier for investors in the capital market by diversifying stocks to improve the investment portfolio.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2017/720/051712222 |
| Uncontrolled Keywords: | Lot Size Policy, Reaksi Pasar, Market Capitalization, Lot Size Policy, Market Reaction, Market Capitalization. |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.63 Specific forms of investment > 332.632 Securities, real estate, commodities > 332.632 2 Stocks (Shares) |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 19 Dec 2017 02:13 |
| Last Modified: | 05 Oct 2020 04:55 |
| URI: | http://repository.ub.ac.id/id/eprint/7194 |
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