The Indonesia Stock Exchange has really concerned about improving stock market quality these
days. One of its effort is implementing pre-closing trading session. It refers to Decision of the Board
of Directors of The Indonesia Stock Exchange Number Kep-00399/BEI/11-2012, regarding Amendment
to Rule Number II-A concerning Equity-Type Securities Trading. The rule is effective on 2nd
January 2013 and Indonesia Stock Exchange has implemented it since that date. The purposes of
pre-closing implementation are to mitigate marking the close, which is the practice of buying security
at the very end of the trading day at a significantly higher price than the current price of the security,
and to improve market quality. This paper attempts to veryfy whether the impact of pre-closing implementation
to price efficiency is positive or not. The result shows that the pre-closing implementation
has positive impact to price efficiency. It reduces the return volatility and market manipulation at the
closing time which also means that the pre-closing implementation has effectively improved market
quality in the Indonesia Stock Exchange.
