Ren, Hernando Andrianto Willy (2012) The effect of changes in Kompas100 index constitution on stock price, volume and liquidity. Bachelor thesis, Universitas Pelita Harapan.
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Abstract
In this paper, the authorstudy return of added and deleted stocks from KOMPAS100 Index, one of the index existing in Indonesia. Our sample consists of 102 stocks that were added to KOMPAS100 Index from announcement period of January 2008 through July 2011. The sample of observation also includes 59 stocks that were deleted. This study is using price, volume, and liquidity variable to test the existence of Price Pressure Hypothesis, Imperfect Substitute Hypothesis, and Liquidity Hypothesis. We find evidence of no significant changes in Mean Abnormal Return, Cumulative Abnormal Return, Volume Ratio and Illiquidity that surrounds the event of KOMPAS100 constitution changes. The null hypotheses are accepted that there is no difference of mean in term of price, volume and liquidity before and after index change both in short term and long term. Individual daily test of price, volume and liquidity alsoshown that the event doesn’t give meaningful impact on the performance of added and deleted companies.
| Item Type: | Thesis (Bachelor) | ||||||||
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| Additional Information: | SK 11-08 REN e | ||||||||
| Uncontrolled Keywords: | Additions ; Deletions ; KOMPAS 100 ; Price effects ; Volume effects ; Liquidity Effects | ||||||||
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||||||
| Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management Current > Faculty/School - UPH Karawaci > Business School > Management |
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| Depositing User: | Users 8 not found. | ||||||||
| Date Deposited: | 16 Oct 2018 08:04 | ||||||||
| Last Modified: | 12 Oct 2021 02:36 | ||||||||
| URI: | http://repository.uph.edu/id/eprint/1871 |
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