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"ABSTRAKPenelitian ini memeriksa hubungan cross-sectional antara turnover shock saham di sesi perdangangan pasca-penutupan IDX dan efisiensi harga pembukaan. Hasil penelitian menemukan adanya pelemahan efisiensi harga pembukaan pada transaksi pembuka. Hal ini konsisten dengan resiko information asymmetry. Penelitian ini juga mendukung argumen bahwa resiko information asymmetry tidak berkaitan dengan market friction walaupun kedua faktor tersebut behubungan dengan mikrostruktur harga aset dan bahwa ketersediaan opening call auction pada saham-saham paling liquid mungkin tidak meningkatkan efisiensi harga pembukaan saham-saham tersebut.

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ABSTRACT

This paper examines cross-sectional relationship between stocks? magnitude of turnover shock in IDX post-close trading session and their price efficiency in the opening. The result confims that the shock is significantly decreasing opening price effeciency in the opening trade. This finding is consistent with information asymmetry risk. Additionally, this research confirms that information asymmetry risk is unrelated to market friction although both of them are related to microstructure asset pricing and that availability of opening call auction in stocks with highest liquidity may not improve their opening price."

"Penelitian ini membahas mengenai dampak pencabutan larangan short sell terhadap performa saham. Performa yang diukur adalah dari sisi likuiditas, overvalue, dan price efficiency. Periode waktu yang digunakan adalah setelah pencabutan larangan short sell pasca krisis 2008 sebelumnya. Hasil penelitian yang didapatkan adalah pemberlakuan short sell akan meningkatkan likuiditas dari saham. Selain itu ditemukan juga saham mengalami overvalue ketika short sell masih dilarang. Yang terakhir pemberlakuan short sell akan meningkatkan efisiensi dari saham.

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This research discusses the effect of short sell ban lifting on stock performance. The performance of the stock is measured by liquidity, overvalued, and price efficiency. A period that we used for this research is after the 2008 crisis. The result obtained from this research is the implementation of short sell will increase liquidity of the stock. Also founded the overvalue effect from the stocks when short sell was prohibited, and the last is short sell will increase stock efficiency."

"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."