Do Changes in Trading Hours Affect Return, Volatility and Liquidity? Evidence from Indonesia Stock Market
- 10.2991/aebmr.k.211117.007How to use a DOI?
- Changes in trading hours; abnormal return; volatility; liquidity; LQ45
The COVID-19 outbreak triggered various responses around the world, particularly on the Indonesia stock market. It can be seen that the Indonesia stock market is highly affected due to COVID-19 pandemic. This makes BEI has to take a policy so that the stock market is still attractive for investors. BEI has circulated a decree concerning changes in trading hours on exchange transactions. The objective of this research is to analyze the effect of changes in trading hours due to COVID-19 on Indonesia stock market toward abnormal return, volatility and liquidity of stocks. This research employs event study method with an observation period of 7 days before and 7 days after the changes in trading hours on Indonesia stock market. Data gathered in this research are the abnormal return, volatility and liquidity of LQ45 index from March 18 to April 8, 2020. The normality test conducted indicates that the data is not normally distributed. Therefore, the research hypothesis is tested using non-parametric test, namely the Wilcoxon Paired Sample Test. The results show that there are no significant differences in abnormal return and volatility before and after the changes in trading hours. However, there is significant difference in liquidity before and after the changes in trading hours.
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Naufal Wicaksono AU - Intan Nurul Awwaliyah AU - Marmono Singgih PY - 2021 DA - 2021/11/30 TI - Do Changes in Trading Hours Affect Return, Volatility and Liquidity? Evidence from Indonesia Stock Market BT - Proceedings of the International Conference on Management, Business, and Technology (ICOMBEST 2021) PB - Atlantis Press SP - 46 EP - 51 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.211117.007 DO - 10.2991/aebmr.k.211117.007 ID - Wicaksono2021 ER -