Proceedings of the International Conference on Management, Business, and Technology (ICOMBEST 2021)

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Do Changes in Trading Hours Affect Return, Volatility and Liquidity? Evidence from Indonesia Stock Market

Authors
Naufal Wicaksono1, *, Intan Nurul Awwaliyah2, Marmono Singgih3
1Faculty of Economics and Business, University of Jember, Jember, Indonesia
2Faculty of Economics and Business, University of Jember, Jember, Indonesia
3Faculty of Economics and Business, University of Jember, Jember, Indonesia
*Corresponding author. Email: naufalw19@gmail.com
Corresponding Author
Naufal Wicaksono
Available Online 30 November 2021.
DOI
10.2991/aebmr.k.211117.007How to use a DOI?
Keywords
Changes in trading hours; abnormal return; volatility; liquidity; LQ45
Abstract

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.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the International Conference on Management, Business, and Technology (ICOMBEST 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
30 November 2021
ISBN
978-94-6239-471-1
ISSN
2352-5428
DOI
10.2991/aebmr.k.211117.007How to use a DOI?
Copyright
© 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

risenwbib
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  -