Lailatul Mubarokah_abstract_1512011

TRADING VOLUME ACTIVITY AND BID-ASK SPREAD BEFORE AND AFTER THE MERGER ANNOUNCEMENT OF SSX INTO JSX

Lailatul Mubarokah
Agus Sucipto
Fakultas Ekonomi Universitas Islam Negeri Maulana Malik Ibrahim
Jl. Gajayana No.50 Malang

Telp. +62 341 551 354; Fax. +62 341 572 533
E-mail: suga_cipto@yahoo.co.id

Abstract
Jakarta stock exchange (JSX) and Surabaya Stock exchange (SSX) were the organizers of capital market in Indonesia. Thus, to srengthen the capital market in Indonesia SSX merged into JSX on  November 30th, 2007. New information coming into market would influence the trading activities, including trading volume activity (TVA), and bid-ask spread. While, merger also influenced the total issuer of listed companies in Indonesia stock exchange (IDX). This research included an event study with quantitative method about the analysis of total issuer differences, TVA and bid-ask spread before and after the merger announcement of SSX into JSX. It used t-test method and autoregressive distribution lag test. The result of research analysis showed the difference, significance and insignificance. Based on t-test, the total issuer, TVA, and bid-ask spread were not significant before and after the merger announcement of SSX into JSX shown by the higher value of sig.2 tailed than level of significance and value of standard deviation before the merger announcement of SSX into JSX from each variable. Based on autoregressive distribution lag test, it showed significant response by high trading volume of TVA and bid-ask spread and also high volume of buy-offer investor did on several days of windows period before and after the merger announcement of SSX into JSX.

Key words:  merger announcement, trading volume activity, issuer, bid-ask spread

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