EFFECT OF LISTING AND DELISTING FROM LQ45 INDEX TOWARDS PRICE OF A STOCK: A STUDY FROM INDONESIA STOCK EXCHANGE

• Main Author: Etantyo, Adrian
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/72280
• Institution: Institut Teknologi Bandung

In Indonesia stock market, LQ45 is regarded as one of the main indices that attracts investor?s attention to depict the overall stock market. The stock listed in LQ45 is always changing on 6- month basis based on the criteria regulated by PT Bursa Efek Indonesia. Some investors that want to invest in liquid stocks, however, only look for the stock in the LQ45 at the moment they want to invest. In this matter, the fluctuation of transaction can happen and affect the price of the stocks over time. It is hypothesized that listing on LQ45 have a higher price because of lower risk implied on the stocks and attract more demand in the stock. The hypothesis for delisting on LQ45 is conversely with the listing. This research is bounded by the time of stocks listing and delisting, which consists of stocks listed in February 2015 to July 2015, and also stocks delisted in the same period. To analyze the data, non-parametric statistics is used over the empirical stock price data. The price analyzed is one year before effective date of listing or delisting, and one year after the effective date of listing or delisting. Based on selected stocks that meet the criteria, listing of the stocks in LQ45 shows a not significant price increase compared to the pre-listing period. On the delisted stocks, the result is significant price drop, which put higher risk into delisted stocks. The conclusion is LQ45 index doesn?t make the price of a stock increase by some margin but once the stock came out of the index, the price will go down. In short, it is crucial to keep an eye on the LQ45 index changes because it can gives insight for investor to make the trading timing right.