文章基本信息

标题：Altering Tick Sizes, Liquidity, and Stock Return in Indonesia
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作者：sung suk kim
期刊名称：Jurnal Keuangan dan Perbankan
印刷版ISSN：1410-8089
电子版ISSN：2443-2687
出版年度：2022
卷号：26
期号：2
页码：370-389
DOI：10.26905/jkdp.v26i2.7402
语种：English
出版社：Universitas Merdeka Malang
摘要：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.
关键词：tick size;liquidity;stock return