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"The Indonesia Stock Exchange has really concerned about improving stock market quality thesedays. One of its effort is implementing pre-closing trading session. It refers to Decision of the Boardof Directors of The Indonesia Stock Exchange Number Kep-00399/BEI/11-2012, regarding Amendmentto Rule Number II-A concerning Equity-Type Securities Trading. The rule is effective on 2ndJanuary 2013 and Indonesia Stock Exchange has implemented it since that date. The purposes ofpre-closing implementation are to mitigate marking the close, which is the practice of buying securityat 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 implementationto price efficiency is positive or not. The result shows that the pre-closing implementationhas positive impact to price efficiency. It reduces the return volatility and market manipulation at theclosing time which also means that the pre-closing implementation has effectively improved marketquality in the Indonesia Stock Exchange."

"ABSTRAKNama : MahmudahProgram Studi : Magister ManajemenJudul : Manipulasi Harga Penutupan di Bursa Efek IndonesiaPenelitian ini bertujuan untuk mengetahui manipulasi harga penutupan di Bursa Efek Indonesia dengan data sampel periode September 2016 hingga Februari 2017. Dari dua puluh saham dengan kapitalisasi pasar terbesar, ditemukan delapan saham yang terindikasi mengalami manipulasi harga penutupan. Penelitian ini dilengkapi dengan wawancara dealer, fundamental perusahaan, peristiwa internal dan eksternal yang mempengaruhi imbal hasil dan price reversal. Ditemukan 31 keterbukaan informasi yang dilaporkan setelah jam perdagangan memiliki efek price reversal pada keesokan pagi. Terdapat pergeseran volume transaksi yang signifikan ke sesi pre-closing, mengindikasikan pentingnya nilai ekonomi pada sesi penutupan, dan peningkatan volatilitas yang menunjukkan bahwa harga penutupan bersifat sementara.Kata kunci:Manipulasi harga penutupan, keterbukaan informasi, pre-closing, price reversal, volatilitas, volume transaksi.

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ABSTRACTName MahmudahStudy Program Master of ManagementTittle Closing Price Manipulation in Indonesia Stock ExchangeThis study examined closing price manipulation in Indonesia Stock Exchange. We use the data sample during September 2016 to February 2017. From twenty biggest market capitalizations, there are eight stocks that were indicated having closing price manipulation. This study also featured deep interview with equity dealers, fundamental, internal external events and found that 31 of information disclosures reported to IDX after market close has effect on price reversal. There is significant proportion of volume shifts to pre closing indicates the economic importance of the last minutes of trading, and the heightened volatility suggests that closing price contains transitory component.Keywords Closing price manipulation, information disclosure, pre closing, price reversal, transaction volume, volatility."