Judul: Analysis of the Impact of
Implementing Asymmetric Auto Rejection on Return Volatility in IDX30 Index
Stocks
Abstrak: Volatilitas return saham merupakan faktor penting dalam pengambilan keputusan investasi, dan strategi manajemen risiko yang efektif. Asymmetric Auto Rejection adalah suatu aturan atau mekanisme yang diterapkan dalam pasar saham untuk mengendalikan fluktuasi harga saham dengan cara yang tidak simetris. Penelitian ini menggunakan data volatilitas saham IDX30 pada periode Maret 2018 hingga Maret 2022. Oleh karena struktur data ini mencakup 30 emiten dalam periode tersebut, maka penelitian ini menggunakan analisis regresi data panel. Penelitian ini bertujuan untuk mengevaluasi dampak penerapan asymmetric auto rejection terhadap volatilitas return saham di pasar saham Indo-nesia selama pandemi Covid-19. Penelitian ini menunjukan bahwa model terbaik adalah model pengaruh acak dengan efek waktu. Model tersebut menunjukan bahwa tidak terdapat perbedaan volatilitas saham pada periode sebelum dan setelah penerapan kebijakan asymmetric auto rejection, artinya kebijakan tersebut dapat mengendalikan volatilitas harga saham IDX30. Trading Volume Activity (TVA) adalah jumlah total saham atau kontrak yang diperdagangkan da-lam periode waktu tertentu. TVA dan volatilitas memiliki hubungan positif, artinya ketika lebih banyak saham diperdagangkan, return saham cenderung lebih berfluktuasi. Stock return volatility is a crucial factor in investment decision-making and effective risk management strategies. Asymmetric Auto Rejection is a rule or mechanism applied in the stock market to control stock price fluctuations in a non-symmetrical manner. This study uses IDX30 stock volatility data from March 2018 to March 2022. Because this dataset includes 30 issuers over that period, this study applies panel data regression analysis. The aim of this study is to evaluate the impact of asymmetric auto rejection implementation on stock return volatility in the Indonesian stock market during the Covid-19 pandemic. The results showed that the best model was the random effects model with time effects. This model indicated that there was no difference in stock volatility before and after the implementation of the asymmetric auto rejection policy, meaning that the policy could control the return volatility of IDX30 stocks. Trading Volume Activity (TVA) is the total number of shares or contracts traded within a certain period. TVA and volatility had a positive relationship which means that the higher number of shares traded, the return tended to fluctuated more., Stock return volatility is a crucial factor in investment decision-making and effective risk management strategies. Asymmetric Auto Rejection is a rule or mechanism applied in the stock market to control stock price fluctuations in a nonsymmetrical manner. This study uses IDX30 stock volatility data from March 2018 to March 2022. Because this dataset includes 30 issuers over that period, this study applies panel data regression analysis. The aim of this study is to evaluate the impact of asymmetric auto rejection implementation on stock return volatility in the Indonesian stock market during the Covid-19 pandemic. The results showed that the best model was the random effects model with time effects. This model indicated that there was no difference in stock volatility before and after the implementation of the asymmetric auto rejection policy, meaning that the policy could control the return volatility of IDX30 stocks. Trading Volume Activity (TVA) is the total number of shares or contracts traded within a certain period. TVA and volatility
Keyword: panel data regression, asymmetric auto rejection, IDX30, random effect model, stock return volatility