ANALISIS PENGARUH PERUBAHAN KOMPOSISI INDEKS LQ 45 TERHADA RETURN SAHAM DAN TRADING VOLUME ACTIVITY

KURNIAWATI, DINAR (2016) ANALISIS PENGARUH PERUBAHAN KOMPOSISI INDEKS LQ 45 TERHADA RETURN SAHAM DAN TRADING VOLUME ACTIVITY. Other thesis, Universitas Sebelas Maret.

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    Abstract

    An index in stock market represents the performance of the stock market. An addition of a stock to index can increase investor’s confidence toward the stock, deletion of a stock from an index can decrease investor’s confidence toward the stock. The investor’s reaction to addition and deletion of a stock from LQ 45 index showed by the different and changes of actual return and trading volume activity. The statistic test used by this research is Paired Sample t-test. The result of this research shows that there is a different of actual return and cumulative actual return in the around the day of announcement for addition stock to LQ 45 Index. There is an increase of actual return after the addition stock to the index. For the deletion stock there is a different signifikan of cumulative actual return in the around the day of announcement and there is a different signifikan average actual return before and after composition changed of LQ 45 Index. There is a decrease actual return after the deletion stock from the index. In the other hand this research can not find the different significant of trading volume activity for addition and deletion stock. This finding shows that there is an increase of investor’s confidence for addition and a decrease of investor’s confidence for deletion. Keywords: LQ 45, actual return, trading volume activity, event study

    Item Type: Thesis (Other)
    Subjects: H Social Sciences > HB Economic Theory
    Divisions: Fakultas Ekonomi
    Fakultas Ekonomi > Manajemen
    Depositing User: faizah sarah yasarah
    Date Deposited: 28 Jan 2016 10:54
    Last Modified: 28 Jan 2016 10:54
    URI: https://eprints.uns.ac.id/id/eprint/23335

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