Perilaku harga saham selama periode perdagangan dan non perdagangan
Sucahyo, Anang (Adv.: Dr. Mamduh M. Hanafi, MBA), Dr. Mamduh M. Hanafi, MBA
Penelitian ini menguji volatilitas return selama periode perdagangan dan periode non perdagangan dan volatilias return harian di Bursa Efek Jakarta (BEJ). Periode perdagangan di BEJ dibagi menjadi dua sesi (sesi pagi dan sesi siang), sehingga ada dua periode non perdagangan yaitu istirahat siang hari dan periode malam hari. Hasil penelitian menunjukkan bahwa varians return tertinggi pada sesi pagi hari dan terendah pada peri ode istirahat siang.
Volatilitas return harian yang dihitung dari harga pembukaan tidak berbeda secara signifikan dengan harga penutupan. Hal ini disebabkan harga pembukaan dan penutupan (pada setiap sesi) di BEJ dilakukan dengan mekanisme perdagangan yang sarna, berbeda dengan Bursa Efek New York (NYSE) dan Bursa Efek Tokyo (TSE). Perilaku harga selama periode perdagangan dan non perdagangan sensitif terhadap size, volume perdagangan, bid-ask spread, day of the week, kondisi pasar dan tick size.
This study examines the volatility of return during trading and non -trading hours and the volatility of daily stock return for securities trading on the Jakarta Stock Exchange (JSX). The JSX operates two trading sessions (the morning and the afternoon sessions) then there are two breaks in trading : a short one during business hours (lunch break) and long one overnight. The result indicate that the morning session return varinces is the highest and lunch break return variances is the lowest.
The volatility on daily return calculated from opening prices found to be not significantly different than those calculted from closing prices, because on the JSX the opening and the closing price are determined by using the same procedure, unlike the New York Stock Exchange (NYSE) and the Tokyo Stock Exchange (TSE). Finally, stock price behaviour in trading and non-tarding periods are sensitive to size, traing-volume, bid-ask spread, day of the week, market condition and tick size.
Kata Kunci : periode perdagangan dan non perdangan, harga pembukaan dan penutupan, votality, trading and non-trading periods, open and close price
