DAMPAK PENERAPAN KEBIJAKAN FULL CALL AUCTION TERHADAP VOLATILITAS HARGA DAN LIKUIDITAS SAHAM PADA SAHAM YANG MASUK DALAM PAPAN PEMANTAUAN KHUSUS DI BURSA EFEK INDONESIA
DOI:
https://doi.org/10.31539/s7t6mr17Keywords:
Full Call Auction, Volatilitas Harga, Likuiditas Saham, Papan Pemantauan Khusus, Bursa Efek Indonesia, Efisiensi Pasar, Event StudyAbstract
Penelitian ini menganalisis dampak penerapan kebijakan Full Call Auction (FCA) pada saham-saham Papan Pemantauan Khusus di Bursa Efek Indonesia dengan fokus pada perubahan volatilitas harga dan likuiditas saham sebelum dan sesudah kebijakan diberlakukan. Menggunakan metode event study dengan jendela observasi 15 hari perdagangan serta sampel 61 saham aktif, penelitian mengukur volatilitas dengan High-Low Volatility Estimator dan likuiditas dengan rata-rata volume perdagangan harian, kemudian diuji menggunakan Wilcoxon Signed Rank Test. Hasil penelitian menunjukkan tidak terdapat perbedaan signifikan pada volatilitas (p = 0,110) maupun likuiditas (p = 0,367) setelah penerapan FCA, meskipun secara deskriptif terjadi penurunan volatilitas sekitar 10% dan volume perdagangan sekitar 40%. Temuan ini mengindikasikan bahwa kebijakan FCA belum memberikan dampak signifikan terhadap kualitas pasar dan lebih berfungsi sebagai instrumen tata kelola serta perlindungan investor pada tahap awal implementasinya.
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