Studi Komparatif: Volatilitas dan Likuiditas Saham Setelah Implementasi Papan Pemantauan Khusus Tahap I dan II
DOI:
https://doi.org/10.30588/jmp.v15i2.2592Keywords:
Call Auction, Liquidity, Stock Volatility, Special Monitoring BoardAbstract
The Special Monitoring Board (Papan Pemantauan Khusus/PPK) is a policy implemented by the Indonesia Stock Exchange to control price volatility and enhance trading quality for high-risk stocks through the call auction mechanism. This study compares stock volatility and liquidity before and after the implementation of PPK Phase I (Hybrid Call Auction) and PPK Phase II (Full Call Auction). This study employs a quantitative, comparative approach using stocks listed on the PPK during the 2023–2025 period. Secondary data in the form of stock prices, trading volume, and transaction value are analyzed using the Wilcoxon Signed-Rank Test. The results indicate significant differences in stock volatility and liquidity following the implementation of the Special Monitoring Board. A stronger reduction in volatility is observed during PPK Phase II, indicating the effectiveness of the full auction mechanism in suppressing stock price fluctuations. However, in terms of liquidity, PPK Phase I tends to be followed by an improvement in market liquidity, whereas PPK Phase II shows a short-term decline in liquidity. The findings indicate a trade-off between price stability and efficiency in the implementation of the Full Call Auction mechanism in the Indonesian capital market.
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