Institutional Ownership and Stock Performance Around Index Rebalancing: Evidence From LQ45 Index
- DOI
- 10.2991/aebmr.k.201126.060How to use a DOI?
- Keywords
- Institutional investors, Index rebalancing, Stock performance
- Abstract
This study aims to study the effect of the index rebalancing event on changes in share ownership which can further improve the performance of stocks that enter and exit the index. In this study used a sample of 164 events in which there were 82 incidents of shares entering and 82 incidents of shares leaving the LQ45 index constituents in the period 2010 - 2019 with a total of 4,920 observations. Data processing techniques using panel data regression method. The results showed the effect of the index rebalancing to institutional ownership has positive relationship. Changes in the number of shareholdings by institutional investors are not significant to stock performance. The summary of the results of this study supports the rebalancing of LQ45 index into one of the information used by investors in the Indonesian capital market. Where the shares added in the constituents, rebalancing event to be a positive information for investors, while the release of shares from constituents was not found strong evidence to be negative information for investors.
- Copyright
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Puspita Pratiwi AU - Permata Wulandari PY - 2020 DA - 2020/11/27 TI - Institutional Ownership and Stock Performance Around Index Rebalancing: Evidence From LQ45 Index BT - Proceedings of the 5th Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-5 2020) PB - Atlantis Press SP - 543 EP - 552 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.201126.060 DO - 10.2991/aebmr.k.201126.060 ID - Pratiwi2020 ER -