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Does Indonesia Stock Exchange Need Tick Size Reduction?
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 김봉환 | - |
| dc.contributor.author | 데시 | - |
| dc.date.accessioned | 2017-07-19T07:44:19Z | - |
| dc.date.available | 2017-07-19T07:44:19Z | - |
| dc.date.issued | 2016-08 | - |
| dc.identifier.other | 000000136174 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/130226 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 행정대학원 : 행정학과 글로벌행정전공, 2016. 8. 김봉환. | - |
| dc.description.abstract | Indonesia Stock Exchange (IDX) has implemented new policies on January 6, 2014, which are changes in Lot Size and Tick Size. These instruments are expected to bring more liquidity to Indonesia Capital Market and in the end IDX can provide investment opportunities and sources of financing in order to support national economic development. This research explores the impact of an exogenous tick size reduction on bid-ask spreads, depths, and trade time on the Indonesia Stock Exchange. The sample period takes 24 months, which is 12 months before and 12 months after the tick rule change. We find that the impact of the tick reduction on the IDX is similar to that on other markets. Tick reduction on IDX is associated with declines in spread, volume and market depth (quote volume). We are unable to confirm significant effect on Trade Time and Quote to Trade ratio. Our cross-sectional regressions show that after the tick size reduction policy has been implemented, reduction in relative spread is significant. Stock with greater trading activity experienced greater spread reductions. However, we fail to find evidence of a significant impact of value, volume and price variables. | - |
| dc.description.tableofcontents | 1. INTRODUCTION 1
1.1. BACKGROUND OF THE STUDY 1 2. LITERATURE REVIEW 5 2.1. INDONESIA STOCK EXCHANGE 5 2.2. TICK SIZE 7 2.3. LIQUIDITY 8 2.3.1. TICK SIZE EFFECT ON LIQUIDITY 9 2.3.2. BID ASK SPREAD 13 2.3.3. TICK SIZE AND DEPTH 17 2.3.4. TRADE TIME 20 2.3.5. CROSS SECTIONAL REGRESSION 21 3. DATA AND METHODOLOGY 23 3.1. DATA SAMPLE 23 3.2. METHODS AND HYPOTHESIS 25 3.2.1. THE SPREAD 25 3.2.2. THE DEPTH 27 3.2.3. TRADE TIME 28 3.2.4. CROSS SECTIONAL REGRESSION 29 3.3. STATISTICAL TEST 30 4. DATA ANALYSIS AND FINDINGS 32 4.1. THE SPREAD 32 4.2. MARKET DEPTH 38 4.2.1. TRADE VOLUME AND ORDER VOLUME 38 4.2.2. QUOTE TO TRADE 42 4.2.3. TRADE TIME 44 4.2.4. CROSS-SECTIONAL REGRESSION 47 4.2.5. CORRELATIONS AMONG REGIONAL INDICES 52 5. SUMMARY AND POLICY IMPLICATION 55 5.1. SUMMARY 55 5.2. POLICY IMPLICATIONS 56 BIBLIOGRAPHY 59 국문초록 62 | - |
| dc.format | application/pdf | - |
| dc.format.extent | 729744 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 행정대학원 | - |
| dc.subject | Tick Size | - |
| dc.subject | Market Spread | - |
| dc.subject | Market Depth | - |
| dc.subject | Volume | - |
| dc.subject | Trade Time | - |
| dc.subject.ddc | 350 | - |
| dc.title | Does Indonesia Stock Exchange Need Tick Size Reduction? | - |
| dc.type | Thesis | - |
| dc.description.degree | Master | - |
| dc.citation.pages | 62 | - |
| dc.contributor.affiliation | 행정대학원 행정학과 | - |
| dc.date.awarded | 2016-08 | - |
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