Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Altering Tick Sizes, Liquidity, and Stock Return in Indonesia

Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Altering Tick Sizes, Liquidity, and Stock Return in Indonesia

Tick size; Liquidity; Stock return.

This study aimed to investigate the effect of tick-size altering on liquidity and stock return using the 2000-2018 Indonesia stock market (IDX) data. IDX was used to alter the tick size regime five times during the sample period. The results showed that a decrease in absolute tick size increases the liquidity estimated by the effective spread. The zero-return
transaction frequency decreases consistently with a decrease in absolute tick size. The size also negatively impacts the abnormal stock return. Therefore, Fama-MacBeth approaches using individual firms' data show consistent results as the time series methods after controlling characteristic factors.

Sung Suk Kim

DOI: 10.26905/jkdp.v26i2.7402

Universitas Merdeka Malang

April 2022

Sri Wahyuni

ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)

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Jurnal Keuangan dan Perbankan Universitas Merdeka Malang