Saputra, Ratna Setiani (2017) THE IMPACT OF ADDITIONS TO AND DELETIONS FROM LQ45 INDEX ON STOCK PRICE AND TRADING VOLUME PERIOD 2009-2016. S1 thesis, UAJY.
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Text (KEU 658.05/Rat/17)
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Abstract
Stock index providers periodically reconstitute their indexes in order to better represent segment of the market. This study emphasize on examining the stock price and trading volume reaction occurs when shares are added to or deleted from LQ45 during 2009-2016. The selected sample consists of 67 stock additions and 79 stock deletions. This research employs event study methodology to examine abnormal price and trading volume activity around the actual date or announcement date using daily data by using -5 and 5+ days windows event. The study finds the stock price of added stocks and deleted stocks show no difference between before and after the announcement. For the trading volume of added stocks show a difference between before and after the announcement, while the trading volume of deleted stocks show no difference between before and after the announcement.
| Item Type: | Thesis (S1) |
|---|---|
| Uncontrolled Keywords: | abnormal return, trading volume activity, additions, deletions, LQ45 index, event study |
| Subjects: | Financial Accounting > Financial Accounting |
| Divisions: | Fakultas Ekonomi > Manajemen Internasional |
| Depositing User: | Admin Perpustakaan UAJY |
| Date Deposited: | 20 Nov 2017 11:37 |
| Last Modified: | 20 Nov 2017 11:43 |
| URI: | http://e-journal.uajy.ac.id/id/eprint/12893 |
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