TVA, Abnormal Return, and Investor Perception on Changing of Tick Size 2 May 2016

Abstract

The objective of this study was to analyze the market reaction to the changing of capitalmarket's tick size regulation in May 2, 2016. The main goal of the regulation was toincrease the capital market liquidity, then it's important to test whether there was adifference in market liquidity before and after the regulation released. The method of thisstudy was studying with Trading Volume Activity (TVA) and abnormal return based onsecondary data and also investor perception based on primary data. The secondary dataconsist of 65 samples of listed companies in Indonesia Stock Exchange. The primary dataconsist of 67 investors in Yogyakarta that were selected using purposive sampling method.The result of this study was mix, there was no difference before and after the release ofregulation in TVA, but there was a difference in abnormal return. The result of investorperception shows that there was a positive response to the changing of tick size regulation.n