Perilaku Harga Pembukaan (Opening Price): Noise dan/atau Overreaction

Perilaku Harga Pembukaan (Opening Price): Noise dan/atau Overreaction

(Studi Empiris Berbasis Intraday Data, 2006)

S u m i y a n a (Universitas Gadjah Mada)

Hendrik Gamaliel (Universitas Samratulangi)


This study extends Sumiyana (2007b) which concluded that noise over trading and nontrading period, along with overnight and lunch break nontrading session, and the first and second trading session, had occured. However, Sumiyana (2007b) is not clear what kind of prices are responsible for this noise and overreaction?

This study examines the opening price behavior responsibled for the noise and overreaction in the Indonesian Stock Exchange using intraday data in every 30 minutes interval. Samples of the data are the firms listed in LQ45. Sequentially, samples are filtered to stocks that actively traded in the Indonesian Stock Exchange based on trading frequency in observation period from January to December 2006. This research finds that noise and overreaction phenomena were always occurred in the opening price. In addition, investors actually corrected for the noise and overreaction come to pass at the first 30 minutes interval in every trading day session.

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Keywords: opening price, noise, overreaction, 30 minutes interval

1. Pendahuluan

Opening price in each trading session is crucial because it provides a combination of opening prices of trading volume is concentrated. This is also supported by high uncertainty as a result of nontrading period (Madahavan & Panchapagesan, 2002). Prove the existence of phenomena that occur in valid ie the high return volatility in early trade (Ammihud & Mendelson, 1987; Stoll & Whaley, 1990). Ammihud & Mendelson (1987) argues that the price patterns that occur due to the difference in trading mechanism that was adopted (used) by the stock market in determining prices. Ammihud & Mendelson (1987) and Stoll & Whaley (1990) examine the trading mechanism hypothesis by comparing the variance of return on the opening price on the closing price return variances for stocks listed on the NYSE. NYSE trading mechanism adopted the second. Price is determined by the opening call market mechanism, while the closing price is determined by continuous method. As a result, these two studies found that the variance of returns during the period of open-to-open return variance is higher than during the period of close-to-close-and concluded that the results are consistent with the hypothesis that trading mechanism is used. This differs from the mechanism of trade in the Indonesia Stock Exchange (JSE) that the opening and closing prices are determined by the continuous method. That is, if the trading mechanism moving the volatility, there is no significant difference between the opening price variance with the closing price.

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(Simposium Nasional Akuntansi 11)

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