Syntax Literate: Jurnal Ilmiah Indonesiaï¿½ pï¿½ISSN: 2541-0849 e-ISSN: 2548-1398

Vol. 7, No. 11, November 2022

COMPOSITE AND INVESTMENT INDICESï¿½ PERFORMANCE ON SHORTENED TRADING HOURS IMPLEMENTATION: AN EVENT STUDY

Aulia Dhita Permata

Magister of Management, Economy and Business Faculty, University of Indonesia

Abstract

The Jakarta Composite Index (JCI) has reached an all-time high, and both transaction volume and the number of investors are growing significantly. The Indonesian government implemented a new policy in response to the stabilization of the economy, which impacted the capital market. IDX instituted shortened trading hours on March 30, 2020. During a pandemic, not only Indonesia but also several other exchanges employ a shortened trading hours policy. Previous research using the event study method examined market reactions during the pandemic period and discovered that return and abnormal return on specific sectors plummeted. This research intended to investigate the impact of shortened trading hours implementation on 10 investment indices using event study and a 20-day event window before and after the implementation of shortened trading hours. Using a 20-day event window before and after the policy, this study will examine the cumulative abnormal return (CAR) from each sample index and its relationship to the shortened trading hours policy. As a result, since the policy was implemented during the early stages of the pandemic, there is no correlation between shortened trading hours and CAR. Furthermore, JII is one of the indices that is growing during the event window. Adding knowledge of trading hours policy effect to achieve higher market performance during the global crisis period, so that investors know which indices to use for investment and consider employing shortened trading hours policy after pandemic.

Keywords: Trading hours, cumulative abnormal return, event study, JII.

Introduction

Covid-19 outbreak initially announced in Indonesia on March 2nd, 2020 and stock market hit negatively for a more few months ever since (Setyawati et al., 2021). Almost every country in the world is experiencing a significant 0020 decline in their economic growth including stock market. Indonesia government took serious policy to restrict public mobility, large-scale social restriction is one of implemented policy. It obliges to closing public places, limiting travel, schools, and offices, then led to slower down Indonesia economy (Khoirunurrofik et al., 2022).

Not only for public mobility, but several policies also been implemented in capital market area due to pandemic in order to stabilized capital market performance (Gao et al., 2022). Self-Regulatory Organization (IDX, KPEI, KSEI) announced shortened trading hours policy in order to response Indonesia government policy in public restriction mobility through SRO announcement number Peng-00099/BEI.POP/03-2020, PENG-0075/DIR/KSEI/0320 and PENG-002/DIR/KSEI/0320 dated March, 26, 2020. There were 5 times trading halt during March 2020, the first one happened couple weeks after the first case confirmed in Indonesia, Jakarta Composite Index decline more than 5%. JCI touch the lowest point on March 24, 2020, and tend to decrease until end of 2020 (Yunus Kasim et al., 2022).

A shortened trading hours policy was implemented in several countries due to covid pandemic (Sharif et al., 2020). In ASEAN, not only IDX but also SGX, Bursa Malaysia, SET and PSE shortened its trading hours regarding to its market condition and to make sure market stability and safety. But many exchanges such as HKEX and TWSE using another approach to make sure the safe and stability of market. Much research has been done to analysed how market react to pandemic, Liu., et.al (2020) analysed main index in many countries including emerging one, using January 20, 2020, as event day and another 5 windows event to gain information how market reacted in every single period. According to this study, the abnormal return rates of the major indices in France, England, Malaysia, Indonesia, Hong Kong, Singapore, India, and Italy experienced a negative abnormal return reaction on the day of the event, and Asian countries were further from expectations than other regions.

Much research has been done to investigate market reaction, indices and sectoral return due to covid pandemic. Using abnormal return and event study research, Kasim., et.al (2022) examined market reaction to covid outbreak in Indonesia, it shows that LQ-45 index show a decline since first confirmation case in Indonesia. From this research, we get information that LQ-45 index has responded quickly to covid pandemic and response vary over the time of pandemic. However, JCI gradually increased from day to day since the beginning of the covid pandemic in Indonesia, reaching its peak in 2022, and this occurred during shortened trading hours (Albergamo et al., 2022).

The extension of trading hours may result in a rise in daily trading volume; however, this may also increase the volatility of returns, particularly during the opening and closing sessions at regular hours. Before enforcing the extension of trading hours, it is necessary to consider how to encourage investors to trade during the extended session, as the number of investors participating in the extended session is still relatively small. This is the conclusion of Miwa., et al (2019) study on the benefits of extended trading hours.

Much research have been conducted to investigate how the market and stocks reacted to pandemic, and all of those studies came to the conclusion that the pandemic had a negative influence on the market, particularly in the early phases of the pandemic. This is due to the impact of the influx of capital from foreign investors, which is able to lift the performance of the JCI, particularly for the banking, energy, and technology sectors. JCI itself is progressively increasing and exhibiting a remarkable performance throughout the pandemic. The most important contributors to the JCI are blue chip shares, which are stocks that have a market capitalization value of more than IDR 10 trillion and are therefore considered to have a relatively substantial market value. Blue chip stocks are preferred by international investors, particularly institutional investors, and these blue chip stocks can be found in areas such as banking, technology, and insurance (Liao, 2016).

The performance of the JCI, which reached its highest price and increased transaction value, indicated that the Indonesian Capital Market experienced very excellent growth, a phenomenon worthy of further examination because it occurred during the implementation of shortened trading hours policy. With this policy, there will be less trading activity than normal trading hours because the duration of these hours can cause market volatility. According to previous research conducted by Miwa (2019) on Japanese stock exchanges, extended trading hours can have a negative impact, particularly on price efficiency. With extended trading hours, more and more information will enter the market, posing a risk and having a negative impact on price volatility Guimarï¿½es (2016).

This study provides information on how trading hours affected market performance and will use JCI and 10 investment indices, which are indices that are used as a form of investment product. As a result, this study can be utilized for the purpose of adding knowledge regarding which index is resilient and experiences growth during times of crisis. This study will enrich Kasim, et. al (2022) study that covers LQ-45 performance as well as Alam., et. al (2021) study that analyses stock performance in particular sectors, and it will use the same method while focusing in trading hour and indices performance. Both studies will be enriched by this study.

The objective of this research is to determine if the implementation of the policy of reducing trading hours has a positive impact on the performance of the JCI and the Investment Indices, an alternative investment product to equities and bonds. The purpose of this research is to assess whether the implementation of this policy can be continued and is effective enough to maintain capital market performance by analyzing the return given or the risk and volatility it causes in the stock market and trading activities. Using the event study methodology, the event period of interest for this study is from October 7, 2019 to April 28, 2020, with the announcement of the implementation of the effective trading hours shortening policy on March 30, 2020 serving as the highlighted event. This study will enhance previous research, particularly in regard to the relationship between trading hours, index returns, and trading activity.

Figure 1

JCI in 10 years

Literature Review

A. IDX Trading Hours

IDX has modified trading hours twice, in 2013 via the Decree of the Board of Directors number Kep-00399/BEI/11-2012 dated 14 November 2012, which went into effect on 2 January 2013 in order to align trading hours with other regional exchanges, then IDX, KPEI, and KSEI issued a policy to change trading hours in 2020 via Joint Announcement of SRO numbers Peng-00099/BEI.POP/03-2020, PENG-00002/KSEI/0320, and PENG-075/KSEI/0320 regarding Modifications to Stock Exchange Trading Hours and Settlement Time on March 26, 2020. This policy was implemented on 30 March 2020 as a result of an OJK order regarding changes to trading hours on the Stock Exchange, Alternative Market Operators, Operational Hours for Recipients of Securities Transaction Reports, and Adjustments Settlement Time. In addition, this policy was implemented to maintain the performance and stability of the Capital Market in light of Covid-19.

Table 1

IDX Reguler Market Trading Hours Monday - Thursday :

Session	January 2^nd, 2013	March 30^th, 2020
Pre Opening	08.45.00 ï¿½ 08.59.59	08.45.00 ï¿½ 08.59.59
1^st session	09.00.00 ï¿½ 12.00.00	09.00.00 ï¿½ 11.30.00
2^nd session	13.30.00 ï¿½ 15.49.59	13.30.00 ï¿½ 14.49.59
Pre Closing	15.50.00 ï¿½ 16.00.59	14.50.00 ï¿½ 15.00.59
Post Closing	16.01.00 ï¿½ 16.15.00	15.01.00 ï¿½ 15.15.00

Friday :

Session	January 2^nd, 2013	March 30^th, 2020
Pre Opening	08.45.00 ï¿½ 08.59.59	08.45.00 ï¿½ 08.59.59
1^st session	09.00.00 ï¿½ 12.00.00	09.00.00 ï¿½ 11.30.00
2^nd session	14.00.00 ï¿½ 15.49.59	13.30.00 ï¿½ 14.49.59
Pre Closing	15.50.00 ï¿½ 16.00.59	14.50.00 ï¿½ 15.00.59
Post Closing	16.01.00 ï¿½ 16.15.00	15.01.00 ï¿½ 15.15.00

Source : www.idx.co.id, 2022

B. Pandemics and Financial Market

The world is already dealing with a number of crises, and the COVID pandemic is the most recent issue that will have a significant influence on both the economy and society. The pandemic has had a significant effect on the economy of the entire world; it has raised the level of risk in the stock market; the same thing happened to the stock market with the level of risk following the severity of the pandemic in each region; as a result, the market has become extremely volatile and unpredictable (Zhang, et.al.2020). Research conducted in the stock market through the primary indices of affected countries on every continent found that the abnormal return rates from the primary indices in France, England, Malaysia, Indonesia, Hong Kong, Singapore, India, and Italy experienced a negative abnormal return reaction on the day of the event, and Asian countries were further from expectations than countries in any other region (Liu et al., 2020).

Even though the market revealed a 50% positive reaction when the number of cases increased, the majority of countries in the world with diverse economic histories face the same problem and react negatively during the early phases of a pandemic. It demonstrates through surveying 25 of the most infected nations Phan., et.al (2020). With many policies being implemented by each government in an effort to decrease the danger of exposure and transmission of the virus, bringing an impact to particular sectors, Alam., et. Al. (2020) shows in a study focusing on an analysis of stock in a particular sector in Australia. On the day that the announcement of Covid was made, the indices for food, pharmaceuticals, and healthcare all exhibited impressive positive returns. The findings are essential for investors, market participants, companies, private and public policymakers, and governments to develop recovery action plans for vulnerable sectors and enable investors to regain their confidence in order to make better investment decisions. Different countries have different reactions from their financial markets. In Indonesia, for instance, the market showed a positive reaction almost immediately after the announcement that a COVID outbreak had been reported in China; this indicates that investors did view the information as being favorable (Kasim., et.al. 2021).

According to studies conducted on emerging markets outside Asia, the effect of the pandemic on the stock market is causing an increase in the degree of volatility of the returns on these equities, (Insaido., et.al. 2021) the market experienced turbulence and uncertainty as a direct result of the lockdown policies that were enacted by countries throughout the world.

C. Role of Investor in Stock Market

In his study on the Indonesian and Thai Capital Markets regarding foreign equity trading and emerging market volatility, Wang (2007) stated that after the market opening, domestic investors are no longer price setters but rather followers, and that foreign investors have a dominant influence on domestic market volatility, especially selling transaction. This was found in Wang's research on the Indonesian and Thai Capital Markets regarding foreign equity trading and emerging market volatility. Because of the presence of foreign investors trading in particular companies, local investors will also trade in those stocks, with lower amounts. It was also discovered by Omay et al. (2018) in their research on the behavior of foreign investors in the Malaysian Stock Market during the Asian Crisis that the same thing. The findings of this study are that foreign investors and ownership can make the market unstable and more volatile, especially during times of crisis; however, foreign investors also have an effect on economic growth. This study also came to the conclusion that one of the results is that foreign investors exhibit herding behavior during the Asian Crisis; nevertheless, the behavior of foreign investors is determined by how local counterparts behave.

However, the results of earlier studies are inconsistent with one another. Research on the effects of financial liberalization on developing markets, specifically China, and most specifically on international institutional investors was carried out by Han., et.al. (2015). Based on his research, concluded that international investors, and especially institutional investors, help to reduce market volatility and stabilize the market. Nguyen., et.al. (2021) conducted research on the impact of foreign investors on stock market performance in developing markets, specifically Vietnam, during the COVID-19 period. They found that local investors play an important role in driving market growth. This finding was based on the findings of the research. Despite the fact that local investors, and retail investors in particular, are highly sensitive to market volatility and events that have a significant impact.

D. Trading Hours

The concept of extending trading hours arose in order to break the concentration of trading volume, which had previously been concentrated on the closing and opening hours of trading. According to the findings of this study, extending trading hours can increase the risk of price stability and efficiency, making the addition of trading hours less useful (Miwa, 2018). Another research conducted by Guimarï¿½es (2016) led to the conclusion that longer trading hours have a detrimental impact. According to the findings of this particular research project, expanding market hours can have the effect of driving down asset prices and increasing price volatility. Extended trading hours also result in an increase in the volume of information entering the market; this information may or may not have a favorable impact on the market depending on its context. Extended trading hours may result in a rise in the daily trading volume, which may in turn cause an increase in the degree to which returns are volatile, particularly during the opening and closing sessions that take place during the regular trading hours. However, there is a negative impact on the extension of trading hours because the number of investors participating in the extended session is still relatively low. Because of this, it is necessary to consider how to encourage investors to trade during the extended session before enforcing the extension of trading hours. The findings of this study, which was conducted by Miwa., et.al (2019) and focuses on the benefits of extending trading hours, have led to this conclusion.

Research Methodology

A. Data Sources and Samples

In this study, ten indices used as investment products, as well as the main index in IDX, were used to investigate the response of a shortened trading hour policy once implemented due to the pandemic, as well as the correlation between the abnormal return of indices and the shortened trading hour policy. From October 7th, 2019 to April 28th, 2020, data on stock indices' daily closing prices were collected from the IDX Data Service. Since shortened trading hours were implemented, March 30th, 2020 has been designated as an event day. According to Alam., et.al (2020) research, using 120 trading days prior to an event is appropriate because the periods are long enough to calculate and describe normal returns. List of indices that will be used in this study are:

1. Jakarta Composite Index (JCI)

It is a headline index that calculates market value by using a weighted average of the 825 stocks listed on the IDX at the end of 2022.

2. Indices used as investment products

Table 2

List of Investment Indices

No	Index	Index Code	Description
1)	LQ45	LQ45	This index measures the price performance of 45 equities with high liquidity, large market capitalization, and solid fundamentals.
2)	IDX30	IDX30	Measures the price performance of 30 equities with strong corporate fundamentals, high liquidity, and large market capitalization.
3)	IDX Value30	IDXV30	Measuring the price performance of 30 stocks with low price valuations and transaction liquidity and good financial performance
4)	IDX High Dividend 20	IDXHIDIV20	Measures the performance of 20 stocks that have distributed cash dividends for the last 3 years and have high dividend yields
5)	Jakarta Islamic Index	JII	Measuring the price performance of 30 sharia stocks that have good financial performance and high transaction liquidity
6)	BISNIS-27	BISNIS-27	Measuring the performance of 27 stocks selected by the Indonesian Business Index Committee. This index is a collaboration with the publisher Bisnis Indonesia
7)	MNC36	MNC36	Measuring the performance of 36 stocks that have positive performance selected based on market capitalization, transaction liquidity, fundamentals and financial performance. This index is a collaboration with the MNC Group
8)	SMINFRA18	SMINFRA18	Measuring the performance of 18 stocks whose constituents come from the infrastructure, supporting infrastructure and infrastructure financing (banking) sectors, this index is managed in collaboration with PT Sarana Multi Infrastruktur (Persero)
9)	SRI-KEHATI	SRI-KEHATI	Measuring the performance of 25 shares of Listed Companies that have good performance in promoting sustainable business and have environmental, living, social and good governance awareness. This index is in collaboration with the Indonesian Biodiversity Foundation
10)	PEFINDO i-Grade	I-GRADE	Measure the performance of 30 investment grade stocks from PEFINDO ((idAAA ï¿½ idBBB-) with the largest market capitalization

Source : IDX Stock Handbook, 2021.

B. Event Study

Event studies are able to be carried out to determine the significance of an event that takes place by analyzing the price changes that take place during the event period as well as price changes that take place before the event period takes place (Bodie et al., 2018). Event study is an empirical method of financial research that assesses the effect of an event on stock prices. The Event Study is also a study founded on the efficient market hypothesis, and the effect of an event can be immediately reflected in asset prices on the Financial Markets, so it can explain the effect of information on stock return market reactions (Ji et al., 2022). Event study is utilized to measure the impact of an event on stock returns and the market's reaction to an announcement or event, thereby allowing for the comparison of identical variables at various times (Mackinlay et al., 2019).

This study uses an estimation window of 120 days and a 10-day event window. Day 0 refers to the effective date of the shortened trading hours policy on March 30^th, 2020. Figure 2 illustrates the timeline for event study.

Figure 2

Event Study Timeline

ï¿½ï¿½ï¿½ï¿½

According to McWilliams., et al. (2011), the sample size, non-parametric test to identify data outliers, event window duration, and confounding effect are important aspects of the event study method. There may be confounding effects if multiple items or events occur during the event window, such as the release of government policies or market-affecting actions. To reduce the confounding effect on the specified event window, this study will divide the observation period as follows:

1. t-20 until t+20 shortened trading hours policy implementation

2. t-10 until t+10 shortened trading hours policy implementation

3. t-5 until t+5 shortened trading hours policy implementation

Calculate daily return from each index through the estimation window and event window, with formula:

Where R_i,t = index daily returns on t day, Pi,t = indeks i closing price on t day and Pi, t−1 = index i closing price on t−1 day.

After get return result of each index, then calculate the expected return using simple regression, conducted by using index return and market return, with formula:

Where E(R)_i,t= expected return index i on t period; α = intercept of regression equation; β = slope and R_m = Return market (return on JCI).

Abnormal return (AR) is also employed in Event analysis to quantify the effects of an Event, with formula below:

Where AR_i,t = abnormal return index i on t period; R_i,t = index daily returns on t day; and E(R)_i,t= expected return index i on t period

ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ Then we accumulated all return in a selected period, to capture influence of the event on index prices, using formula Cumulative Abnormal Return (CAR) and Average Cumulative Average Return (ACAR), below:

In the event study, parametric and non-parametric tests must be used to determine whether the ACAR differs significantly from the expected value. If it is significant, CAR can be assumed to measure the event's average effect (McWilliams and Siegel, 1997). This study will use paired t-test for related samples. T- test are also related to the null hypothesis of zero abnormal return, so the t-null test's hypothesis is :

H₀= states that the policy of shortened trading hours had no effect on the selected stock indices

H₁= states that the policy of shortened trading hours had effect on the selected stock indices

A t-test is used to assess the statistical significance of the CARs and to compute empirical results with different event windows and estimated windows in order to strengthen the robustness test.

Results and Discussion

Result of descriptive analysis of daily return of JCI and 10 selected index including mean, standard deviation, minimum and maximum return 20 days before and after shortened trading hours, presented on table 3 below:

Table 3

Descriptive analysis of selected indices (-20,+20)

Pre event window (-20,0)

Variable	Mean	Standard Deviation	Minimum	Maximum
R-IHSG	0,001494982	0,020944695	-0,031796501	0,040748544
R-LQ45	0,000395272	0,027775654	-0,045728669	0,049463699
R-IDX30	-0,000132543	0,027359412	-0,047223384	0,048418309
R-IDXV30	0,0036219	0,038102709	-0,050960071	0,08111229
R-IDXHIDIV20	-0,000671004	0,027777031	-0,047330925	0,053560655
R-JII	0,007119563	0,028782156	-0,040526086	0,058997706
R-BISNIS27	-0,000911882	0,025773266	-0,047631543	0,045456367
R-MNC36	0,002135616	0,026253264	-0,041323845	0,049309364
R-SMINFRA18	0,003220727	0,034266123	-0,046790068	0,076957882
R-SRIKEHATI	-0,001134475	0,025686162	-0,047471779	0,048008068
R-IGRADE	0,001561708	0,027266385	-0,040379286	0,049556119
Post event window (0,+20)
Variable	Mean	Standard Deviation	Minimum	Maximum
R-IHSG	-0,009019232	0,040940176	-0,065786736	0,101906933
R-LQ45	-0,010694931	0,05655652	-0,08261145	0,149210785
R-IDX30	-0,01004763	0,057357914	-0,082795309	0,152850455
R-IDXV30	-0,016212921	0,05592965	-0,106729171	0,110205575
R-IDXHIDIV20	-0,010422652	0,056394148	-0,083622159	0,147385677
R-JII	-0,009401685	0,052781414	-0,078393956	0,128102919
R-BISNIS27	-0,011866607	0,054732072	-0,084780791	0,135743625
R-MNC36	-0,009617752	0,053940467	-0,077655609	0,146394706
R-SMINFRA18	-0,013137315	0,057362453	-0,092793439	0,131973047
R-SRIKEHATI	-0,009790136	0,05680848	-0,078618404	0,158686029
R-IGRADE	-0,011008173	0,054795718	-0,076524665	0,148008452

Source : authorï¿½s calculation using IDX Data

After the shortened trading hour policy was implemented, all indices had lower mean returns and an increase in standard deviation as compared to before the policy was implemented. As a result of the fact that the minimal returns in the post window are lower than those in the pre window, it is possible that the reduction in trading hours has a detrimental effect on the returns of indices.

Based on index return, we can calculate abnormal return from each index, Figure 3 depicts the movement of the AR of the ten investment indices over the course of the observation period. The downward Ars graph reflected negative sentiment to index prices, tt can be seen that the JII index is relatively increasing during the observation period, whereas the IDX Value 30 is relatively decreasing. While Figure 4 shows CAR and ACAR of investment indices movements along the estimation window, the cumulative movement of abnormal returns from the 10 investment indices during the observation period appears very fluctuating and gives a different response every day, but when the cumulative value is averaged, the movement of abnormal returns on the investment index is quite stable.

CAR from t-20 to t-0 has decreased dramatically as a result of information related to Covid-19, which caused negative sentiment on the market, resulting in 6 (six) trading halts on the IDX that occurred in March 2020, namely until March 30, 2020, which is the 6th trading halt and coincides with the effective date of the implementation of the shortened trading hour.

Figure 3

Abnormal Return Investment Index (during event window)

Source: authorï¿½s calculation using IDX Data

Figure 4

Cumulative Abnormal Return and Average Cumulative Abnormal Return of Investment Index (during event window)

Source: authorï¿½s calculation using IDX Data

The significance of CAR statistically shown in tables 4, to determine how shortened trading hours affected index in three estimation window (-20,+20), (-10,+10) and (-5,+5). If the significance value is less than 5%, then there is a difference between the variables before and after the incident; if the significance value is greater than 5%, then there is no difference between the variables before and after the incident. The findings of the t-test that was performed reveal that every event window that was selected as the observation period had a significance level of greater than 5%; hence, the value of significance could not be established. Because of this, there is no difference in the Average Cumulative Abnormal Return (ACAR) on the investment index before and after the announcement of the implementation of the shortened trading hour policy.

Table 4

Paired t-test result

Event Window	ACAR	T-Test Significance	Result
t-20	0,37%	0,0917	Not Significant
t+20	-0,30%	0,0917	Not Significant
t-10	0,31%	0,3655	Not Significant
t+10	0,36%	0,3655	Not Significant
t-5	0,11%	0,4428	Not Significant
t+5	-0,23%	0,4428	Not Significant

ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ Source: authorï¿½s calculation using IDX Data

Conclusion

This study focuses on the implementation of shortened trade hours, which essentially begin in the middle of a pandemic. The event window used is the same period when information about Covid-19 began to enter Indonesia, namely in March 2020, when the implementation of shortened trading hours was an action taken to reduce the spread of Covid-19 and as a government appeal to limit physical movement. The implementation of shortened trading hours, effective March 2020, is consistent with OJK's policy of relaxing capital market activities, beginning with shortened trading hours and ending with the deadline for submitting financial reports. A market panic occurred in March 2020, resulting in a trading halt. When the JCI fell by more than 5%, trading was halted on six occasions. This was due to the Capital Market's poor performance at the time, which resulted in a decrease in the value of returns and abnormal returns in March 2020 (when observation period taken).

The calculation of the investment index CAR shows that the JII index is increasing, there are new issuers listed on the IDX in 2020 that are JII constituents, and the rise of sharia investment and finance causes the JII index to continue to grow during the observation period. In contrast to JII, SMINFRA18 showed a significant decrease until the end of the observation period. SMINFRA18 is an index composed of stocks related to infrastructure and infrastructure support, as well as banking issuers.

This study is based on the short-term fluctuations of the shortened trading hours policy implemented in Indonesia, and its findings are crucial for policymakers and investors in determining which indexes and constituent stocks are more resilient in crisis periods, particularly given the shortened trading hours. During shortened trading hours, the Indonesia Capital Market set an extraordinary record, prompting policymakers to consider reducing trading hours in response to market-moving information. This study only looked at investment indices, not sectoral indices with a longer timeframe. Further research is expected to use sectoral indexes over a longer period of time.

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Aulia Dhita Permata (2022)

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Syntax Literate: Jurnal Ilmiah Indonesia

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