Effect Of Trading Halt (Suspension) For The Volatility Of Return, Trading Volume Activity, Bid Ask Spread, Stock Price And Stock Return (Case Studies On Companies Listed In Indonesian Stock Exchange Period 2012-2014)
Abstract
Suspension is a form of information in indonesian stock exchange. this announcement relates to the trading suspension at stocks. this research aims to analyze whether or not differences in volatility of return, trading volume activity, bid ask spread, stock price, and stock return before and after the announcement of suspension used different test wilcoxon signed rank test and paired sample t-test analyze technique. This research also analyzing the effect of volatility of return, trading volume activity, stock price, and stock return to the bid ask spread used multiplier linear regression analyze technique. This research examine the effect of trading suspension at stocks with a unreasonable price by the Indonesian Stock Exchange in the period 2012-2014. The observation period at three trading day before and three trading day after suspension. The sample in this study were 30 companies to 35 times suspension. Different test results showed there was difference significant in the volatility of return, trading volume activity, stock price, and stock return before and after the announcement of suspension, but this different test results showed no difference significant bid ask spread before and after the announcement of suspension. Multiplier linear regression showed that only volatility return and trading volume activity affects significant the bid ask spread, while variable stock return and stock price showed no affects significant the bid ask spread.
Keywords: Suspension, Volatility of Return, Trading Volume Activity, Bid Ask Spread, Stock Price, and Stock Return
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