Does Pre-Opening Session Impact Market Volatility and Liquidity  

Oleh:

Kholisoh, Luluk ; Hermawati, Sri

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Manajemen dan Bisnis Ilmiah Berkala (Jurnal Manajemen dan Bisnis) vol. 9 no. 2 (Sep. 2010), page 155-160.
Topik: market microstructure; opening mechanism; volatility; and liquidity

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM82.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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On February 4, 2004, the Indonesian Stocl Exchange (IDX) was implemented the changed its trading rules from continuous open to opening call, called pre-opening session. The purpose of this trading rules changed is to improve market liquidity. Previous study found that the opening cal would reduce the volatility and spread at the opening call than the continuous open. These studies analyze market volatility and liquidity (trade base and order base) using intra-day data from the Indonesian Stock Exchange, where this market uses pre-opening session as the opening call. More than 100,000 transactions were used in this study with one-month period. The results of this study contradicts to the previous studies. Using the opening call does not reduced market volatility, especially at the opening trade. The opening trade is more volatile then closing trade. Using the opening call do not impair on liquidity, especially for high volume stocks, based on trade or based on order. This phenomenon was contradicts to the conventional wisdom which suggests that thinly traded stocks is better in call trading method while the continuous auction method is preferred for heavily traded stocks.

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