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Analisis dampak periode pra-pembukaan terhadap volatilitas imbal hasil saham dan aktivitas perdagangan
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
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7013 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| Edisi | - |
| Subjek | Share valuation Share prices Trading volume Trading value Volatifity |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xii, 65 p., 22 p. : il. ; 30 cm & lamp |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |