Private Information Arrival At Indonesia Stock Exchange, Reality Or Imaginary? U-Shaped Return Variance Curve Verification  

Oleh:

Sumiyana ; Mihardjo, Setiyono

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Journal of Indonesian Economy & Business (Jurnal Ekonomi & Bisnis Indonesia) vol. 27 no. 3 (Sep. 2012), page 315-335.
Topik: U-shaped curve; private and public information
Fulltext: JIEB_27_03_315.pdf (286.26KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II77 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research investigates occurrence of private information arrival in Indonesia Stock Exchange (IDX). The occurrence comes from overnight nontrading session as well as lunch-break hour. Lunch-break return variance decreases two times in comparison with early morning and lately afternoon return variances. This variance is due to private information arrival. This study finds that opening prices form the full day U-shape. It means that opening price causes stock mispricing. It also be concluded that lunch-break session produces the bottom line on the U-shape to move downward. U-shaped curve during morning until the end-afternoon session occurs. Therefore, the line formation implies the existence of private information arrival that is in short-lived.

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