The Effect of Changes in Tick Price and Lot Size on Bid-Ask Spread, Depth, Trading Volume, and Trading Time In Indonesia Stock Exchange

Kevin Budi Santoso, Immanuel Billy Mogie

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
 


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