Abstract: The event study is the basis for this research, which explains the comparison of the average abnormal return and trading volume activity due to changes in the exchange transaction settlement cycle from T + 3 to T + 2. Companies belonging to the LQ45 index for the period August 2018 to January 2019 were the objectives of the study. The population in this study were 45 companies. Market reaction to changes in the exchange transaction settlement cycle from T + 3 to T + 2 is measured using abnormal return and trading volume activity. Data analysis technique used is paired-sample t-test. This study found that there was no significant average difference in abnormal returns, but in trading volume activity there was a difference in the average before and after the change of the exchange transaction settlement cycle from T + 3 to T + 2 to all listed LQ45 company shares on the Indonesia Stock Exchange
Keywords: market reaction, event study; changes in transaction policies, abnormal returns; trading volume activity.
Title: Indonesian capital market reaction against changes in the exchange transaction settlement cycle From t + 3 to t + 2
Author: Mandala Githa Perwira, I Ketut Yadnyana
International Journal of Management and Commerce Innovations
ISSN 2348-7585 (Online)
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