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Kevin Budi Santoso, Kevin Budi
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Decision Sciences, Operations Research & Management

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The Effect of Changes in Tick Price and Lot Size on Bid-Ask Spread, Depth, Trading Volume, and Trading Time In Indonesia Stock Exchange Santoso, Kevin Budi; Mogie, Immanuel Billy
iBuss Management Vol 3, No 2 (2015): iBuss Management
Publisher : iBuss Management

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Abstract

Government has changed the regulation regarding tick price and lot size on 6 January 2014 to boost stock liquidity. This research aims to analyze the effect of the changes toward  bid-ask spread, depth, trading volume, and  trading time as the variables of stock liquidity. This research used purposive judgment sampling method with several criteria to gather 212 stocks as the sample within 30 days window period. The data was analyzed using Paired Sample T Test for normally distributed data, or Wilcoxon Test for not normally distributed data. The results showed that there is a significant decrease on bid-ask spread, depth, and trading time, whereas the trading volume is insignificantly increased. Keywords: Bid-Ask Spread, Depth, Trading Volume, Trading Time, Stock Liquidity  
Co-Authors Immanuel Billy Mogie, Immanuel Billy