| Summary: | The objective of this research is to study the effect of preopening
session on price discovery based on price volatility of transactions that
occurred in the Indonesia Stock Exchange (IDX) so as to produce a fairly opening
price. The hypothesis test is the first stage and second stage when there is trade
in pre-opening session, the price volatility is lower than non pre-opening session.
This research used intraday four share price stock per 30 minutes, there
are (ANTM, TLKM, ISAT and TINS) which included pre-opening period on the
stock Exchange. at first stage (January 5 2004 until 3 March 2004) and the
second stage (April 20, 2009 to June 16, 2009).
The results indicated the first stage of pre-opening session gave a
significant influence on price discovery to form a fair opening price on the
trading period. While in the second stage of pre-opening session did
not give significant influence on price discovery, because there is influence of the
global crisis that caused the condition of capital market is not stable yet.
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