PERUBAHAN WAKTU PENYELESAIAN TRANSAKSI PERDAGANGAN SAHAM PADA JSX

Abstract

Changes in settlement time will result in changes lo the price formation process. The purpose, of this paper is to look at the stock returns change as a result of changes in length of day settlement of stock trades from T + 4 to be T + 3 in Indonesia JSX of LQ45, in connection with the letter No. S-1355/PM/2002 dated June 20, 2002 about the "Exchange Transaction Settlement T + 3" by BAPEPAM - LK

From the test results for all shares of LQ45 CAR which has a value B > I seems to have the highest value in the range of CAR 0.27. lt can be argued that changes in stock trading transaction completion time has the effect of stock returns is very positive toward - stock- shares have, a value B > l. The implementation of changes in share trading settlement time from T + 4 to T + 3 can be said to have a positive influence on stock returns evidenced by the difference of the CAR of all shares of LQ45 al the rime before and after the policy change completion time stock trading in JSX . And that a public policy or changes in capital market regulation particularly for research on the stock market can provide a positive influence on stock returns.

Key words: Cumulative Abnormal Return, Settlement Time (day), Portfolio, Single Index Model.