RENCANA PERUBAHAN FRAKSI BID & OFFER
DI
BURSA EFEK INDONESIA
Disiapkan untuk
APEI
2013
KARAKTER ANGGOTA BURSA DI INDONESIA TERKAIT PERDAGANGAN SAHAM
1. Bentuk Pendapatan Anggota Bursa yang masih hanya Komisi Transaksi, Pembiayaan
atas Marjin Nasabah, dan Pembiayaan T+
2. Memiliki perdagangan ETF yang perdagangannya masih jauh dibandingkan dengan
perdagangan saham
3. Perdagangan Opsi Saham yang masih dalam proses Revitalisasi
4. Perdagangan Index Future yang masih dalam proses Revitalisasi
5. Mayoritas Anggota Bursa yang memberikan Analisa Teknikal
6. Masih belum banyak Anggota Bursa yang memberikan Analisa Fundamental
7. Masih Relatif sulit mendapatkan data Fundamental, karena rata-rata data yang
disediakan menggunakan format yang memerlukan waktu cukup lama untuk dapat
dikonversi menjadi “excel able” data.
8. Jumlah Rekening Efek / SID yang terdaftar di KSEI baru mencapai kira-kira 350.000
dibandingkan jumlah Penduduk di Indonesia yang 270 Juta Jiwa.
9. Total Anggota Bursa yang mencapai 120 an.
Kesimpulan : Anggota Bursa akan sangat mengharapkan dari Nasabah-Nasabahnya yang
berjumlah tidak banyak, namun melakukan Frekuensi transaksi yang lebih sering, dengan
jumlah nilai rupiah perdagangan yang besar.
Contoh : BELI SAHAM GIAA HARGA 500, dan JUAL SAHAM GIAA HARGA 510 DAY TRADE
DENGAN ASUMSI FEE 0.2% BELI dan 0.3% JUAL
UNTUNG
=
510 – 500
UNTUNG
=
10 / 500 =
BIAYA
=
0.2% x 500 + 0.3% x 510
=
1 + 1.53
=
2.53
UNTUNG
=
10 – 2.53
=
7.47
UNTUNG
=
7.47 / 500
~
1.494%
2%
:. Anggota Bursa pasti akan menyukai nasabah jenis ini
Pro Data :
1200
MSCI
INDONESIA
USD 1051.63
1000
800
600
400
200
0
MSCI Indonesia Index vs Other MSCI Index
URL : http://www.sciencedirect.com/science/article/pii/0304405X86900656
Asset pricing and the bid-ask spread ☆
Journal of Financial Economics Volume 17, Issue 2,
December 1986, Pages 223–249



Yakov Amihud∗
Tel Aviv University, Tel Aviv, Israel
New York University, New York, NY 10006, USA
Haim Mendelson
University of Rochester, Rochester, NY 14627, USA
Catatan :
Buku Tahun 1986, apakah masih relevan digunakan sebagai acuan dalam pengambilan
keputusan saat ini ??
Apakah ada Orang Indonesia sudah ada yang meneliti Perubahan Fraksi Saham ??
Kesimpulan :
Penurunan Fraksi akan menyebabkan Frekuensi Perdagangan Menurun,
Volume Perdagangan meningkat, Nilai Rupiah Perdagangan Menurun
serta Penurunan Volatilitas.
Volatilitas Tinggi memang berisiko lebih tinggi dalam perdagangan,
namun juga memberikan potensi yang tinggi sehingga Trader
menyukainya
DARK POLL kah alasan terkait perubahan Fraksi ??
Siapakah Dark Poll ??
URL : http://en.wikipedia.org/wiki/Dark_liquidity
In finance, dark pools of liquidity (also referred to as dark liquidity or simply dark pools
or black pools) is trading volume or liquidity that is not openly available to the public.[1] The
bulk of these represent large trades by financial institutions that are offered away from public
exchanges so that trades are anonymous. The fragmentation of financial trading venues and
electronic trading has allowed dark pools to be created, and they are normally accessed
through crossing networks or directly between market participants.
One of the main advantages for institutional investors in using dark pools is for buying or
selling large blocks of securities without showing their hand to others and thus avoiding
market impact as neither the size of the trade nor the identity are revealed until the trade is
filled. However, it also means that some market participants are disadvantaged as they cannot
see the trades before they are executed; prices are agreed upon by participants in the dark
pools, so the market becomes no longer transparent.[2]
There are three major types of dark pools. The first type is independent companies set up to
offer a unique differentiated basis for trading. The second type is broker-owned dark pools
where clients of the broker interact, most commonly with other clients of the broker (possibly
including its own proprietary traders) in conditions of anonymity. Finally, some public
exchanges are creating their own dark pools to allow their clients the benefits of anonymity
and non-display of orders while offering an exchange "infrastructure". Depending on the
precise way in which a "dark" pool operates and interacts with other venues it may be
considered, and indeed referred to by some vendors as a "grey" pool.[3]
...
URL : https://www.moneysmart.gov.au/investing/shares/how-to-buy-and-sell-shares/dark-pools
Dark pools
Trading in the dark
So-called 'dark' trading has always been part of the market, especially when managing larger trades. However, technology
and the increase in this activity have made it easier for trades to be done off public markets. This may be affecting the price
you're paying for shares.
Here we explain more about dark pools and the benefits and drawbacks.



What are dark pools?
Drawbacks of dark pools and dark trading
Avoiding dark pools
What are dark pools?
A 'dark pool' is a system that enables assets such as shares to be traded away from public exchanges such as the Australian
Securities Exchange (ASX) and Chi-X.
Dark pools were originally created to allow traders to anonymously execute large-scale share transactions that would
normally cause big price movements on public markets, like the ASX. These are known as 'block trades'.
Trades done 'in the dark' are hidden from the public and other brokers before and during the trade. The details of the
trade are reported once it is complete.
Many brokers operate dark pools to automatically match two client orders or to match a client's order with their own
inventory. This may result in a better price than is available on an exchange market. A faster trade may also be possible.
This is called 'internalisation'. If your buy or sell order is placed this way, your broker may make money on the 'spread' which is the difference between the purchase price and the sale price of the share.
With dark pools, brokers may also pay a lower fee to the market operator than if the trade was completed on the public
market. This benefit may not be passed on to the client.
Drawbacks of dark pools and dark trading
Dark pools attract trades away from public markets so they are not accessible to all investors.
Dark trading can widen the difference between the purchase price and the sale price on a public market. This can lead to
everyone receiving lower prices.
Trades that are completed in the dark can also jump the queue of orders on a public market. This increases the risk that
prices may move before investors with orders on the public market have traded.
Dark pools, and dark trading more generally, can lead to a lack of transparency in the market.
ASIC is currently considering how dark pool operators should be regulated to ensure the practice does not have a negative
impact on investors using public markets. For more information, see ASIC's media release about new market integrity rules.
Avoiding dark pools
If you have concerns about your broker using dark pools or internalising your trades you can request that they only execute
them on public markets. However, they may not agree to this.
You should ask your broker whether they are using dark pools to execute your trades and decide whether it is right for
you.
URL: http://www.afr.com/p/opinion/drowning_in_dark_pool_of_fees_8Fh6mLQMgadg7uZ0neYeWN
Dan Weaver from Rutgers University published the results of an empirical study last year in
which he examined whether US stocks with more trading in the dark have wider bid-ask
spreads.
Using a sample of trading data for the NYSE and Nasdaq, he finds that they do. In the US the
evidence suggests dark pools have gone too far, and are increasing the cost of trading in lit
markets. We have replicated his analysis using Australian data and found exactly the same
thing, even though dark trading and dark pools are less dominant in Australia.
We also estimated a coefficient that measures the relationship between trading volume and
the bid-ask spreads for the top 200 ASX stocks. This so-called “elasticity coefficient” enables
us to forecast the impact of the fragmentation resulting from dark orders.
We found the coefficient was overwhelmingly negative across stocks, implying that if dark
trading increased by 20 per cent in Australia then the cost of trading would increase by one
basis point.
Sounds small? Well, it’s massive if you consider that this increase is three times the fee
charged by the ASX. Furthermore, 20 per cent is only the beginning if you consider almost
50 per cent of trading in US stocks that are of a similar size to ASX-listed stocks are now
traded in the dark.
To its credit, ASIC has taken an interest in this dramatic development and is following it very
closely.
However, what we need is a more proactive stance on the regulation of dark executions.
URL : http://www.efinancialnews.com/story/2013-06-04/australian-dark-pool-rules-asic
 Pengurangan Levy diperlukankah untuk melawan Dark Poll ?
URL : http://www.ft.com/cms/s/0/98128c3e-eb43-11e1-984b-00144feab49a.html#ixzz2WYa0jMET
Since the Flash Crash of May 2010, regulators have become concerned about the integrity of
equity markets, which has placed dark trading in the spotlight along with traditional trading.
Regulatory proposals to curb dark trading across the globe follow three broad themes: price
improvement, size thresholds and caps on the total dark volume traded in a stock.
URL : http://www.ft.com/cms/s/0/98128c3e-eb43-11e1-984b-00144feab49a.html#axzz2WYZjCdIa
ITG said it entered the country because it is one of the few in the region to allow trading of
shares off the exchange, with no restriction on minimum order sizes and an established
price reporting mechanism for such trades.
URL : http://www.brw.com.au/p/investing/don_be_afraid_of_the_dark_pool_lDCBzs3GqKC6QL6tLwXOiL
Don’t be afraid of the dark pool
Published 19 March 2013 07:05, Updated 20 March 2013 08:11
Dark pool trades account for over 26 per cent of all ASX equity transactions. Photo: Tamara
Voninski
Dark pools: the name alone conjures up images of nefarious backroom activity undertaken
by faceless powerbrokers.
Ostensibly, that’s what it is – big institutions use dark pools as a way to trade large blocks of
stock displayed off-market, away from the prying eyes of the public exchange investors.
But dark pools or ‘off market displayed trading’ has been around as long as public markets
have been in existence – even when trades were actually executed on the floor of stock
exchanges, institutional investors wanting to trade big blocks of stock would make
arrangements for that trade to be made “up stairs” or “in private” to avoid market
movements in anticipation of a large placement.
As technology increases the size and frequency of such ‘dark’ trades, there have been calls
from small traders and their representatives for more exposure of what’s going on.
The Australian Securities and Investments Commission (ASIC) came out yesterday with a
report on dark liquidity and high frequency trading, which – despite being speckled with
some tough talk of a crackdown – essentially said the modern day trading practices may not
be as underhanded and nefarious as people think. The report did, however, serve as a bit of
a ‘message in a bottle’ to the industry that the regulator is keeping a watching brief.
Indeed, HFT (high frequency trading) has copped a lot of criticism, especially from longer
term investment managers who argue the technology that allows traders to get in and out
of positions within milliseconds is disrupting the transparency of price discovery in trade
executions. Actually, ASIC is saying HFT trades are held for an average 42 minutes.
Most large brokerage houses will have invested in some kind of HFT or algorithmic trading
technology (in the spirit of continuing the subversive dark pool imagery, let’s say this
technology is hidden somewhere in server racks close to the ASX mothership). The
brokerage houses will use this technology to make money by buying and selling quickly and
essentially trimming the fat on each trade.
While HFT and algorithmic trading are commonly lumped together, algorithmic trading is
actually the all encapsulating activity of applying complex algorithms to capture anomalies
in stock trading, of which HFT is a sub-segment.
The proliferation of dark pools could, to a large extent, be a result of the emergence of HFT
because trading “in the dark” allows traders of large blocks of shares to avoid the choppy
bid/ask conditions in the public markets, a characteristic HFT is increasingly blamed for.
Now for the statistics:
Dark pools account for 25 per cent of executed trades at the moment. According to the
most recent ASX Australian Cash Market report compiled on a weekly basis, around 66 per
cent of ASX trades were “lit”, with 10 per cent of the overall trades made through “dark
pools” and around 16 per cent of the total traded in “dark blocks”. The ASX explains that
dark blocks are large trades usually above $1 million.
The ASX has its own dark pool trading facility called Centre Point, but most institutions will
have their own proprietary dark pools to execute trades of big blocks of shares.
ASIC’s report estimates there are around 20 dark pools actively trading shares away out of
public view.
Currently there is no way to find out the size and type of shares traded in block dark pool
trades.
ASIC deputy chair Belinda Gibson accused some of the brokerage houses of using the
secretive trading techniques to profit on trades after seeing positions their clients had
taken.
This supposed abuse was deemed not “systemic” enough to warrant a prosecution or even
a public shaming, the comment seemed to be more of a warning to the dark pool underbelly
that big brother knows how these things work and is keeping a watching brief.
URL: http://www.nytimes.com/2013/04/01/business/as-market-heats-up-trading-slips-intoshadows.html?pagewanted=all&_r=0
Canada has been among the most aggressive countries in confronting dark trading,
introducing rules last fall that allow trades to take place in dark pools only if brokers are
getting customers a significantly better price than is available on the public exchange.
Within months, dark pool trading in Canada dropped to about a third of what it was before
the rule, according to Rosenblatt Securities.
URL: http://www.risk.net/asia-risk/feature/2183123/dark-pool-trading-asia-increases-regulatory
Dark pool trading in Asia increases – as does regulatory interest
Author: Justin Lee
Source: Asia Risk | 08 Jun 2012
Categories: Regulation
The dark pool sector in Singapore was killed off by onerous regulations. As the SFC later
looks to step up its oversight of the activity, the question is whether the Asian market will
match its European and North American peers in terms of penetration and trading volume
Financial market regulators worldwide are increasingly focusing on dark pools with concerns
the relative opacity of these platforms can hamper price discovery if too much volume is
taken away from the lit market.
In Asia-Pacific, dark pools – essentially platforms that do not publicly quote prices – are
located in Australia, Hong Kong, Japan and Singapore. However, the proportion of trades
executed in dark markets compared with lit venues is still relatively small when compared
with Europe or the US.
For example, in Hong Kong only 2% of trades are done off the exchange, in 15 licensed dark
pools, according to Hong Kong’s Securities and Futures Commission (SFC). This compares
with the 17.57% in the US and 5.38% in Europe (although Europe’s figure could be as high as
6.25% when taking into account unreported volumes) in March 2012 according to data from
New York-based brokerage Rosenblatt Securities.
From this small base, though, interest and volumes in Asian dark pools is steadily increasing,
according to market participants. But it’s not just investors looking at dark pools – regulators
in the region are turning their attention to them also.
At an industry event in May, Ashley Alder, chief executive of the SFC, said his organisation
was considering regulating dark pool activity to ensure even access by investors. “We
encourage choice in products and services by different platforms and recognise that
alternative trading styles can offer efficiencies. But we are keen to make sure there is a level
playing field,” Alder said.
Already in Asia regulators require all trades conducted through dark pools to be reported to
the relevant local exchange. In Japan, for example, trades must be reported to a system
called Tostnet, which is operated by the Tokyo Stock Exchange. Similarly in Hong Kong,
trades are required to be reported to the Hong Kong Exchange.
In Singapore, in addition to reporting to the local exchange, the Monetary Authority of
Singapore has stated that the minimum order size that can be executed off the Singapore
Exchange (SGX) is S$150,000 or 50,000 shares. These off-exchange trades are subject to
relevant SGX trading rules that require a trade to be reported to the exchange within 10
minutes of execution.
However, the minimum order size has proved prohibitive to the development of dark pools
in Singapore, according to Chris Jenkins, managing director for Asia-Pacific at Tora, a Hong
Kong-based broker that operates a dark pool in Japan. Singapore’s first dark pool, Chi-East, a
50/50 joint venture between SGX and Chi-X Global, announced in May it would be closing
because of low volumes after 18 months of operation: it recorded a turnover of just US$71
million for the third quarter of 2011.
“One problem with Chi-East in Singapore was they weren’t able to get critical mass in any
market. In Singapore this is due in part to local regulations that restricted minimum cross
size. The thing about dark pools is there is a snowball effect: the more mass you get, the
more people want to get involved,” says Jenkins.
According to Hong Kong-based Glenn Lesko, chief executive of Instinet Asia, which operates
three Asian dark pools, the result of Singapore’s increased regulatory scrutiny is that any
trading outside lit markets will be concentrated in Hong Kong, Japan and Australia. “In
Singapore, the minimum crossing rule makes it difficult for operators to get traction in the
market,” he says.
The price is right
The Singapore approach is in contrast to the approach taken by the Australian Securities and
Investments Commission (Asic), which has refused to impose a minimum size threshold for
dark orders, opting instead to require dark traders to obtain ‘’meaningfully’’ better pricing
than is available in the lit market. However despite this relative laxity there are still concerns
in Australia over the impact of dark pools on the market.
URL : http://www.thetradenews.com/news/Regions/Asia/ASIC_rule_changes_could_shrink_Australian_dark_pools.aspx
May 22, 2013
ASIC rule changes may shrink Australian dark pools
Changes to rules governing dark pools in Australia on 26 May may prompt a shift of equity market liquidity
back onto lit trading venues, but mid-point crossing services are expected to thrive.
In October 2011, the Australian Securities and Investments Commission (ASIC) consulted the market about
Australia's dark liquidity rules. It asked about price improvement and on imposing a A$50,000 threshold on offexchange orders if dark liquidity increased by 50% in absolute terms within a three year period from mid-2011.
There was both support and opposition to proposals, but ASIC determined that signs of a decline in the quality
of price formation justified a rule change.
As a result a price improvement rule will now take effect on 26 May 2013. The basis of that will be to forbid
trades below block size that do not exhibit an improved price.
"One of ASIC's objectives in banning crossings below block size without price improvement is to improve the
overall integrity of the market, but the minimum size threshold on dark pool operators will have the side-effect
of reducing volume of non-displayed trading" says says Kent Rossiter, head of trading, Asia Pacific at Allianz
Global Investors. "Like what we've heard in other markets, there's concern that if liquidity shifts away from
being displayed on lit venues then investors may not get the best possible pricing because of deteriorating
price formation."
ASIC noted in CP 202, a report about dark liquidity and high-frequency trading, published in March 2013, that
it will continue to watch dark pools, and may introduce additional regulation.
"The growth of dark pools was starting to have an impact on price formation in the lit market. I think that the
volume of trading in dark pools will decrease and volume of trading on the lit markets increase,' says John
Fildes, CEO of Chi-X Australia. "I think we will also see greater usage of ASX's Centerpoint, and hidden orders
on Chi X."
Clare Rowsell of brokerage ITG, which as part of its service provides access to dark pools, is more optimistic.
"The new rules will mandate meaningful price improvement for dark orders so that trades must be crossed at
the mid-point or improve by a full tick. This will exclude dark trades that, in the past could have been done at
the NBBO (best bid or offer) and as a result some dark pools may witness a drop in their volume. However
most agency institutional crosses, like ITG's POSIT, already execute most of the flow at the mid-point which
fulfils the price improvement requirements. We would therefore expect agency pools that serve the
institutional market to maintain similar levels or even grow market share. This is in line with a trend seen in
Canada when similar rules were put in place."
Simon Osborne +44 (0)20 7397 3818 simon.osborne@information-partners.com
Pertanyaaan :
1. Apakah penerapan perubahan Fraksi sudah harus buru-buru ??
Mengingat perubahan-perubahan peraturan SRO dan Regulator yang sangat sering
belakangan ini, juga cukup memberatkan Anggota Bursa.
2. Apakah sudah ada tempat untuk menampung para Trader dengan perubahan Fraksi
?? Derivative ??
3. Dapat dilihat DarkPoll adalah masalah terkini diseluruh Pasar Modal Dunia, mari kita
bersatu padu memantau lebih dekat bagaimana menghadapi DarkPoll.
Tanggapan terhadap rencana perubahan fraksi dan jumlah lot :
Berdasarkan ketentuan C.2.c Peraturan Nomor II. Tentang Perdagangan Efek yang menyatakan
bahwa Bursa dapat mengubah satuan perubahan harga dengan memperhatikan kondisi
perdagangan di Bursa Efek Indonesia, maka Bursa Efek Indonesia telah melakukan perubahan tick
size (fraksi harga saham) sebanyak dua kali. Berdasarkan Keputusan Direksi PT. BEJ Nomor
314/BEJ/06-2000, tanggal 27 Juni 2000 menyatakan bahwa mulai tanggal 3 Juli 2000, satuan
perubahan harga (fraksi) dalam melakukan tawar menawar saham di Bursa Efek Indonesia
ditetapkan Rp5,00 (lima rupiah). Ini berarti tick size (fraksi harga) saham di Bursa Efek Indonesia
berubah dari Rp25,00 (dua puluh lima rupiah) menjadi Rp5,00 (lima rupiah). Adapun maksud dari
perubahan ini dalam rangka menciptakan perdagangan yang teratur, wajar dan efisien serta untuk
lebih meningkatkan likuiditas perdagangan efek. Penelitian di Bursa lain menunjukkan bahwa
penurunan fraksi harga saham menyebabkan peningkatan volume perdagangan saham dan
penurunan rentang tawar menawar (bid-ask spread).
Selanjutnya pada tanggal 16 Oktober 2000, Direksi Bursa Efek Indonesia mengeluarkan Keputusan
Direksi Nomor: Kep-331/BEJ/092000, yang menyatakan bahwa Bursa Efek Indonesia mulai tanggal
20 Oktober 2000 akan memberlakukan perubahan satuan perubahan harga saham (fraksi saham)
dari fraksi tunggal sebesar Rp5,00 (lima rupiah) menjadi multi fraksi. Satuan perubahan harga saham
atau fraksi dalam melakukan tawar-menawar saham di BEJ ditetapkan dalam tiga kategori, yaitu:
Untuk harga saham kurang dari Rp500,00 (lima ratus rupiah), ditetapkan fraksi sebesar Rp5,00 (lima
rupiah) dengan setiap kali maksimum perubahan sebesar Rp50,00 (lima puluh rupiah).
Untuk harga saham dengan rentang dari Rp500,00 (lima ratus rupiah) sampai dengan kurang dari
Rp5.000,00 (lima ribu rupiah), ditetapkan fraksi sebesar Rp25,00 (dua puluh lima rupiah) dengan
setiap kali maksimum perubahan sebesar Rp250,00 (dua ratus lima puluh rupiah).
Untuk harga saham Rp5.000,00 (lima ribu rupiah) atau lebih, ditetapkan fraksi sebesar Rp50,00 (lima
puluh rupiah) dengan setiap kali maksimum perubahan sebesar Rp500,00 (lima ratus rupiah).
Sejak 2 Januari 2007, Bursa Efek Jakarta (BEJ) memberlakukan lima fraksi harga. Pertama, untuk
saham berharga kurang dari Rp 200, BEJ menetapkan fraksi perubahan harga Rp 1 dan maksimum
perubahan harga Rp 10. Kedua, saham berharga Rp 200-Rp 495, memakai fraksi perubahan harga Rp
5 dan maksimum perubahan harga Rp 50.
Ketiga, saham yang harganya Rp 500-Rp 1.990, menggunakan fraksi perubahan harga Rp 10 dan
maksimum perubahan Rp 100. Keempat, saham berbanderol Rp 1.990-Rp 4.975, fraksi perubahan
harganya Rp 25, dengan maksimum perubahan harga Rp 250. Terakhir, untuk saham berharga Rp
5.000 ke atas, BEJ menetapkan fraksi perubahan harga Rp 50 dan maksimum perubahan Rp 500.
Dari perubahan fraksi yang pernah terjadi di IHSG ada beberapa penelitian :
1. Fitria Saiari, SE (2009)
Hasil penelitian menunjukkan adanya perbedaan yang signifikan terhadap bid-ask spread,
depth dan volume perdagangan sejak pengumuman sistem fraksi harga saham baru. Dimana
bid-ask spread mengalami penurunan, depth dan volume perdagangan mengalami
peningkatan. engan adanya perbedaan yang signifikan dari peristiwa pemberlakuan fraksi
harga saham baru terhadap bid-ask spread dan depth, maka dapat diidentifikasikan bahwa
penerapan sistem fraksi harga saham baru termasuk dalam peristiwa dimana informasi
belum dapat diantisipasi terlebih dahulu oleh investor.
2. Bayu Agung Nugroho, SE (2006)
Hasil penelitian dan uji hipotesis pertama dan kedua menunjukkan bahwa terdapat
pengaruh yang signifikan antara sistem fraksi harga saham baru terhadap bid ask spred dan
depth. Dengan adanya pengaruh yang signifikan dari peristiwa sistem fraksi harga saham
baru terhadap bid ask spread dsn depth, maka dapat diidentifikasikan bahwa peristiwa
sistem fraksi harga saham baru termasuk dalam peristiwa dimana informasi belum dapat
diantisipasi terlebih dahulu oleh investor. Jadi sistem fraksi harga baru mempunyai
kandungan informasi sehingga berpengaruh dan menimbulkan perbedaan pada bid ask
spread dan depth. Dari pengujian hipotesis ketiga, menunjukkan bahwa tidak terdapat
perbedaan yang signifikan antara sistem fraksi harga saham baru dengan volume
perdagangan. Tidak adanya pengaruh yang signifikan dari peristiwa sistem fraksi harga
saham baru terhadap volume perdagangan maka dapat diidentifikasikan bahwa peristiwa
sistem fraksi harga saham baru bukan termasuk dalam peristiwa dimana informasi belum
dapat diantisipasi terlebih dahulu oleh investor. Jadi sistem fraksi harga saham baru tidak
cukup mempunyai kandungan informasi sehingga tidak mempengaruhi volume
perdagangan. Berdasarkan hipotesis keempat, kelima dan keenam menunjukkan bahwa
hanya hipotesis keempat yang diterima karena bid ask spread mampu membedakan
perubahan fraksi harga Rp. 5, Rp. 10, Rp. 25 dan Rp. 50 artinya investor melakukan
penawaran hara saham yang berkaitan dengan adanya fraksi harga saham sedangkan depth
dan volume perdagangan tidak mampu membedakan fraksi harga Rp. 5, Rp. 10, Rp. 25 dan
Rp. 50.
3. Erman Denny Arfinto, SE, MM (2005)
Dalam penelitian ini penulis menemukan bahwa bid ask spread dan depth menurun,
frekuensi perdagangan menurun, volume perdagangan meningkat dan nilai rupiah
perdagangan menurun, volume perdagangan meningkat, dan nilai rupiah perdagangan
menurun setelah penurunan fraksi harga saham, sebaliknya setelah perubahan menjadi
multi fraksi, ternayta frekuensi perdagangan dan volume perdagangan menurun, namun
nilai rupiah peradagangan meningkat. Selain itu pengamatan pada kedua keputusan
tersebut di atas memang menghasilkan penurunan volatilitas.
Selain ketiga penelitian di atas, masih ada beberapa penelitian lagi mengenai perubahan fraksi
harga saham. Oleh karena itu kami berkesimpulan bahwa perubahan fraksi harga saham
berpengaruh terhadap volume dan nilai transaksi perdagangan. Mengingat kondisi pasar masih
berfluktuatif dan kurangnya sosialisasi kami berpendapat agar BEI mengkaji ulang rencana
perubahan fraksi tersebut. Karena cukup rentan jika rencana tersebut diaplikasikan dalam waktu
dekat tanpa sosialisasi yang cukup ke masyarakat.