| Summary: | Sumiyana (2007b) investigates that noises occurred in Indonesia Stock Exchange.
Especially, Sumiyanas' research concludes that noise over trading and nontrading period,
along with overnight and lunch break nontrading session, and thefirst and second trading
session, had occurred However, Sumiyana's research does not identify who are
responsiblefor the noise. This research used intraday data in Indonesia Stock Exchange.
Samples of the data are thefirmsconsecutively listed in LQ 45 indexes for the year of
2004-2006.
This research attempts to identify who 'are responsible for the noise. This research
studies effects of trading mechanism and clearing mechanism on the stock return
behaviour. Finally, this research is enabling to differentiate the effect of trading
mechanismfrom the effect of clearing mechanism. This research concludes that periodic
clearing procedure at the beginning of the trading period is noisy. Therefore, this research
suggests that trading mechanism in Indonesia Stock Exchange is inefficient. This research
also hopefully recommends shiftingfrom the periodic to qmtinuous trading mechanism.
Keywords: Intraday data, trading mechanism, trading and nontrading periods, stock
return behaviour, noise, negative autocorrelation, clearing mechanism,
periodic clearing procedure.
|
|---|