ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERUBAHAN KEBIJAKAN AUTO REJECTION BAWAH (Studi Kasus Pada Kelompok Saham Di Indeks LQ45)

Abstract

This study aims to determine how the Indonesian capital market reacts to changes in the Auto Rejection Below (ARB) policy to be asymmetrical at 7% for companies listed on the Indonesia Stock Exchange LQ45 Index as measured using abnormal returns and trading volume activity before and after the event with an observation period of up to 1 year. This research is a comparative research with a quantitative approach. The sampling method used is purposive sampling with a total research sample of 39 companies listed on the Indonesia Stock Exchange LQ45 Index. The data analysis technique used in this study used the Paired Sample T-Test test and the Wilcoxon Signed Rank Test to test the hypothesis. The results of this study are that there is no difference in average abnormal return 14 days before and after the change in the lower auto rejection policy, but in the period of 3 months before and after, 6 months before and after, and 1 year before and after the event experienced a difference in average abnormal return. In testing the average trading volume activity, the results show that there is a difference in average trading volume activity in the period of 14 days before and after the event, 3 months before and after the event, 6 months before and after the event, and 1 year before and after the event.

Keywords: Price Limit, Event Study, Average Abnormal Return, Average Trading Volume Activity