Analisis dampak periode pra-pembukaan terhadap volatilitas imbal hasil saham dan aktivitas perdagangan

Deskripsi

Pre-opening session was first applied in Indonesia Stock Exchange early February 2004. The presence of pre-opening session has made a difference in trading mechanism between opening and closing transaction. Therefore, this research find out whether there is a significant impact from the implementation of pre-opening session on stock return volatility and daily trading activities. There are four series of stock return data used: open to open, close to close, open to close, and close to open as well as the daily trading activities of stocks listed in pre-opening session that meet a set of pre-determined criteria for the period of 120 days before and after the implementation of pre-opening session. The findings of this research show that daily trading volume decrease significantly after the implementation of pre-opening session. However, there is no significant difference in variance ratio found before and after the implementation of pre-opening session. In both research periods, price reversal occurs in the opening and the closing period.Ada tabel