The Impact of Pre-closing Implementation to Price Efficiency in Indonesia Stock Exchange
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Main Author: | |
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Format: | Article |
Language: | English |
Published: |
Universitas Indonesia
2014-01-01
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Series: | Indonesian Capital Market Review |
Online Access: | http://journal.ui.ac.id/index.php/icmr/article/view/2986 |
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</style> <![endif]--> <p class="MsoNormal" style="margin-top: 0in; margin-right: 19.3pt; margin-bottom: 10.0pt; margin-left: .25in; text-align: justify; tab-stops: 85.05pt;"><em style="mso-bidi-font-style: normal;"><span style="font-size: 12.0pt; line-height: 115%; font-family: "Times New Roman","serif"; mso-bidi-font-family: Arial;" lang="FR">Indonesia Stock Exchange has really concerned about improving stock market quality these days. One of the effort is pre-closing trading session implementation. It refers to Decision of the Board of Directors of The Indonesia Stock Exchange Number Kep-00399/BEI/11-2012, regarding Amendment to Rule Number II-A concerning Equity-Type Securities Trading. The rule is effective on 2<sup>nd</sup> Januar, 2013 and Indonesia Stock Exchange has implemented it since that date. The purposes of pre-closing implementation are to mitigate marking the close, which is the practice of buying security at the very end of the trading day at a significantly higher price than the current price of the security, and to improve market quality. This paper attempts to veryfy whether the impact of pre-closing implementation to price efficiency is positive or not. The result shows that the pre-closing implementation has the positive impact to price efficiency. It reduces the return volatility and market manipulation at<span style="mso-spacerun: yes;"> </span>the closing time which also means that the pre-closing implementation has effectively improved market quality in Indonesia Stock Exchange. </span></em><em style="mso-bidi-font-style: normal;"></em></p> <p class="NoSpacing4" style="margin-top: 0in; margin-right: 19.3pt; margin-bottom: .0001pt; margin-left: .25in;"><strong style="mso-bidi-font-weight: normal;"><em style="mso-bidi-font-style: normal;"><span style="font-size: 12.0pt; font-family: "Times New Roman","serif";" lang="IN">Keywords</span></em></strong><em style="mso-bidi-font-style: normal;"><span style="font-size: 12.0pt; font-family: "Times New Roman","serif";" lang="IN">:Pre-closing, price manipulation, marking the close, volatility, price efficiency.</span></em></p> |
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ISSN: | 1979-8997 2356-3818 |