PENGARUH INFORMASI PERUBAHAN PERATURAN ATAS WAKTU SETTLEMENT TERHADAP ABNORMAL RETURN DAN AKTIVITAS VOLUME PERDAGANGAN SAHAM (EVENT STUDY : SAHAM LQ45)

Abstract

Economic or non-economic events can have an influence or have no influence on the capital market. Capital market reaction or investor response to the event depends on whether the information has information content or not.This research aims to analyze and determine the effect of the information content by announcing and enacting settlement regulations on trade transactions from t + 3 to t + 2 in shares listed on the LQ45 Index in the period around the date of the 18 July 2018 regulation and the enactment of the regulation on November 26 2018 by looking at the reaction of abnormal returns, the average abnormal return and the average trading volume activities of shares traded or often called event studies. The study sample used all shares listed in the LQ45 index for the period February 2018 and January 2019. This study used a test using the one sample t test, the Wilcoxon test method. The Wilcoxon test or two paired sample tests is used to determine the difference in the average of two groups of pairs in which the data is not normally distributed, namely the average abnormal return and average trading volume activity before and after the event. The results of the study indicate that the settlement regulation event dated November 26, 2018 resulted in a difference in the activity of the average trading volume before and after the event which indicates that the market reacted positively to the event. While the announcement of amendments to the settlement regulations dated July 18, 2018 and the enactment of settlement regulations November 26, 2018, there was no market reaction indicated by the absence of abnormal returns around the announcement date and the date of implementation of settlement regulations, there was no difference in average before and after earnings were found. and do not also find differences in average trading volume activity before and after the announcement of settlement regulations. The market reaction to changes in settlement regulations only occurs in an increase in trading volume activity on an exchange that is characterized by a difference in average trading volume activity after settlement rules are implemented