The Impacts of Minimum Trading Units and Tick Size Changes on Bid-ask Spread, Depth, and Trading Volume: Evidence from the Indonesia Stock Exchange

ERN: Econometric Studies of Government Regulation of Financial Markets (Topic) Pub Date : 2019-05-30 DOI:10.20294/JGBT.2019.15.1.39

E. Junarsin, Enrico Libert, Jordan Kristanto

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Abstract

Purpose – This research aims to analyze the differences in the bid-ask spread, depth, and trading volume after a new tick size and minimum trading unit policy were imposed by the Indonesian Stock Exchange (IDX) on January the 6th, 2014.

Design/Methodology/Approach – This research is exercised on the three variables of liquidity, i.e. the bid-ask spread, the depth, and the trading volume. This research used a paired difference test to measure the impact before and after the policy was imposed.

Findings – The results showed that the smaller the tick size, the greater the average decrease of the bid-ask spread, ask depth, and bid depth, but the trading volume did not show a significant average difference.

Research Implications – The tick size reduction was consistent and supported the previous research from different countries. The bid-ask spread, ask depth, and bid depth significantly decreased, and the trading volume had a tendency to increase as well, although it was not significant.

Results are aimed at the IDX and Bapepam as additional information related to the changes that occurred as a result of the implementation of the new policy in stock trading. Investors can use the information from this study to make investment decisions.

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最小交易单位和刻度大小变化对买卖价差、深度和交易量的影响:来自印度尼西亚证券交易所的证据

目的:本研究旨在分析印尼证券交易所(IDX)于2014年1月6日实施新的交易点大小和最低交易单位政策后，买卖价差、深度和交易量的差异。设计/方法/方法-本研究对流动性的三个变量进行了研究，即买卖价差、深度和交易量。本研究采用配对差异检验来衡量政策实施前后的影响。结果显示，点差越小，买卖价差、买卖深度和买卖深度的平均降幅越大，但交易量的平均差异不显著。研究意义——蜱虫大小的减少是一致的，并支持了以前来自不同国家的研究。买卖价差、买卖深度、买卖深度均显著下降，成交量虽不显著，但也有增加的趋势。结果是针对IDX和Bapepam的额外信息，这些信息与股票交易新政策实施后发生的变化有关。投资者可以利用本研究的信息进行投资决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)

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