| Green Shoe Option as one of price stabilization mechanism has gained popularity in many of developed countries because of the benefits it offers to stabilize the stock price (reducing stock volatility), but that’s not the case in Indonesia, where the utilization is still very limited. This study examines the difference of stock price volatility persistence in Indonesia for new IPOs which utilized the Green Shoe Option and those who did not, within time frame of 2009 – 2018. During this period, there were a total of 260 new IPOs registered at the Indonesia Stock Exchange (BEI) . However, there were only eight (8) of them utilized Green Shoe Option. Each of those stocks will be paired to a stock that was listed in the closest period of time. The stock price volatility persistence in this study is analyzed by using Autoregressive Volatility Model and ARCH (GARCH) Model, depending the characteristics of the data. Daily closing, highest and lowest price were used for this analysis. As a result, it is shown that the shock in stock price which utilized Green Shoe Option tends to be not persistent (only 1 out of 8 stocks showed volatility persistence), compared to those without Green Shoe Option (6 out of 8 stocks). Therefore, according to writer, Green Shoe Option stabilization program can be used to prevent or ease the drop of shares price under public offering. |