Dampak masuk dan keluar saham pada indeks lq45 terhadap kinerja saham

The relevant information related to securities traded on the market, will be used by investor to analyze and interpreted its value. The dynamics of stock price showed the market reaction as the impact of the relevant information used by investor. This reaction can be measured using return as the value of price change or by using abnormal return (Jogiyanto, 2014). The information also affected to volume of trading transaction and stock’s liquidity. Finally, the information will be useful by investor to assess the stock’s performance. Some previous studies stated that information regarding changes of issuers in the index affected to the stock’s value both in the short term and in the long term. The changes are measured by stock returns, stock liquidity and the investors’ perception (reaction). Studies that measure the effects on the level of stock returns and stock liquidity have been carried out in Indonesia. While the studies to measure the effect to the investors perception (reaction) in Indonesia is relatively still very limited. Measurement on the investors’ perception (reaction) is made based on the changes in the value of shadow cost of stock. Based on the above, the study is conduct with purpose to testing the effect of information of changes in the LQ45 index toward the stock’s returns, stock’s liquidity and investors’ perception. As one of the main indices in the Indonesia Stock Exchange, the LQ45 index is able to become an indicator for investors in evaluating the stock performance that have a very high level of liquidity and market capitalization. The total market capitalization value of the LQ 45 index reflects 70% of the value of capitalization and the value of stock transactions traded on the Indonesia Stock Exchange. Testing in this study uses the Mann-Whitney U Test to determine whether there are significant differences before and after the information of changes in the composition of LQ45 index is announced to the stock return (abnormal return), stock liquidity (relative bid-ask spread and amihud's illiquidity) as well as the level of investors’ reaction (number of shareholders and shadow costs). Furthermore, the correlation between the stock liquidity, the firm size and the stock age toward the abnormal return is analyzed too. This study uses data of stock listed or delisted from the LQ45 index in the period 2011-2015.. The numbers of issuers that listed (inclusion) and delisted (exclusion) during the period of 2011-2015 were as many as 50 issuers in each category. Filtration is done to the issuers’ data so that the data is free from the effect of the other information than information of changes in LQ45 index. The number of issuers after the filtration was 38 issuers for the category of inclusion into the LQ45 index and 40 issuers for the category of exclusion from the LQ45 index. The result of this study shows that the difference in the level of abnormal return is only found in the delisted (exclusion) stock from the LQ45 index. Meanwhile, the relative bid-ask spread and the amihud’s illiquidity as the procies of stock liquidity is not different both for the listed (inclusion) and delisted (exclusion) stock from the LQ45 index. The result for the investor reaction shows viii no difference whether is measured by the number of shareholders and the shadow cost as the procies of investor reaction both for the listed and delisted stock from the LQ45 index. The result of correlation coefficient implies that the firm size and the stock’s age have significant impact to the abnormal return for the listed stock to the LQ45 index, meanwhile for the delisted stock from the LQ45 index only firm size has significant impact to the abnormal retur