International Journal of Management and Commerce Innovations ISSN 2348-7585 (Online) Vol. 7, Issue 2, pp: (638-646), Month: October 2019 - March 2020, Available at: www.researchpublish.com
Indonesian capital market reaction against changes in the exchange transaction settlement cycle From t + 3 to t + 2 Mandala Githa Perwira1, I Ketut Yadnyana2 1,2 1,2
Udayana University
Faculty of Economics and Bussiness, Bali, Indonesia
Abstract: The event study is the basis for this research, which explains the comparison of the average abnormal return and trading volume activity due to changes in the exchange transaction settlement cycle from T + 3 to T + 2. Companies belonging to the LQ45 index for the period August 2018 to January 2019 were the objectives of the study. The population in this study were 45 companies. Market reaction to changes in the exchange transaction settlement cycle from T + 3 to T + 2 is measured using abnormal return and trading volume activity. Data analysis technique used is paired-sample t-test. This study found that there was no significant average difference in abnormal returns, but in trading volume activity there was a difference in the average before and after the change of the exchange transaction settlement cycle from T + 3 to T + 2 to all listed LQ45 company shares on the Indonesia Stock Exchange Keywords: market reaction, event study; changes in transaction policies, abnormal returns; trading volume activity.
I. INTRODUCTION The capital market supports the financing of productive businesses for individuals, business entities and institutions that create optimal levels of economic growth in Indonesia and the level of prosperity of the people effectively and efficiently. The important role of the capital market for the economy today is that the capital market is a facility to divert excess funds from investors to borrowers (issuers) who will spend the excess funds for investment activities. Another important role is to enable capital market investors to obtain a number of returns on the investment risk characteristics possessed (Husnan, 2003: 4) The rate of return is the result obtained from the investment. According to Hartono (2017: 263), a return can be in the form of a realized return or an expected return that has not yet occurred, but which is expected to occur in the future. Investors make investments and decision making by looking at which securities will provide maximum returns and as expected. Trading volume is also one that can affect investors besides returns. Stock trading volume is the ratio between the number of shares traded at a certain time to the number of shares outstanding at a certain time (Masyithoh, 2018). The increasing volume of stock trading indicates that the stock is increasingly in demand by investors so that it will bring an effect on the rise or fall of the stock's price or return (Suryawijaya & Setiawan, 1998). Another important thing for the capital market is the role of information. Investors in making investment decisions will pay close attention to the information content that can originate from various events (Chang et al., 2016). Information can change the confidence of investors in making decisions, then the information can be considered informative. Information obtained by investors will be valuable if the information is responded to by investors shown by the action of buying and selling shares and will be reflected in changes in stock prices which will certainly change the returns to be obtained by investors (Zuhroh & Sukmawati, 2003). The capital market as an economic instrument is strongly influenced by various events that have information content for investors. The information needed by this investor can come from internal and external conditions of the issuer. In an efficient capital market, the market will react quickly to all relevant information. In
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