Katalog Online Perpustakaan

Detail Katalog


Manajemen dan Bisnis Berkala Ilmiah


market microstructure, opening mechanism, volatility, and liquidity


  1. Luluk Kholisoh
  2. Sri hermawati




      On February 4, 2004, the
      Indonesian Stock 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 to improve market liquidity. Previous study found
      that the opening call 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 are 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


      Vol 09, Nomor 02, Tahun 2010


      not files can be downloaded

      [Artikel lain]