DAMPAK PENURUNAN TICK SIZE TERHADAP KUALITAS PASAR DAN DETERMINAN LIKUIDITAS PASAR DI BURSA EFEK INDONESIA (STUDI KASUS TICK SIZE RP1,00 UNTUK SAHAM DENGAN HARGA KURANG DARI RP200,00)

Setyawasih, Rianti

Jurnal Fakultas Ekonomi : OPTIMAL
Vol 5 No 1 (2011): Vol 5 No 1 (2011): Optimal: Jurnal Ekonomi dan Kewirausahaan

This paper investigates the implemented a new Rp1,00 tick size on December 16, 2006 in the Indonesia Stock Exchange. The empirical research was conducted using the cross-sectional multiple regressin from daily/intraday data. The new tick relative spread (RS) and depth-to-relative spread (DRS). From cross-sectional analysis, our findings indicate that trading frequency significantly affect the liquidity while stock prices and volatility does not affect the relative spread (liquidity)