Evaluating the Impact of the Full-Call Auction Policy on Volatility, Market Tightness, and Market Depth in the Indonesia Stock Exchange (IDX)

Willy, Leo Indra Wardhana, SE., MSi., Ph.D.

2026 | Tesis | S2 MANAJEMEN (MM) JAKARTA

This study evaluates the impact of the Full-Call Auction (FCA) policy on stock price volatility, market tightness, and market depth in the Indonesia Stock Exchange (IDX), focusing on stocks listed on the Special Monitoring Board (Watchlist Board) Phase 2. The study was conducted by evaluating key variables including standard deviation of daily returns (volatility), bid-ask spread (market tightness), trading volume and trading frequency (market depth) using quantitative research methods. The data used covers a period of one year before and after the FCA was implemented. The study results show that the FCA policy increased price volatility and reduced market depth, while the improvement in market tightness through a narrower bid-ask spread was not significant, which provides a general picture that the policy has not yet fully achieved the IDX’s intended objectives and may have introduced short-term reactionary trading behavior. This study is expected to provide a new perspective for exchange members and regulators on how the new FCA rules have been implemented by the IDX since 2024, so that evaluation and readjustment can be carried out to help improve market efficiency, especially for high-risk and illiquid assets.

This study evaluates the impact of the Full-Call Auction (FCA) policy on stock price volatility, market tightness, and market depth in the Indonesia Stock Exchange (IDX), focusing on stocks listed on the Special Monitoring Board (Watchlist Board) Phase 2. The study was conducted by evaluating key variables including standard deviation of daily returns (volatility), bid-ask spread (market tightness), trading volume and trading frequency (market depth) using quantitative research methods. The data used covers a period of one year before and after the FCA was implemented. The study results show that the FCA policy increased price volatility and reduced market depth, while the improvement in market tightness through a narrower bid-ask spread was not significant, which provides a general picture that the policy has not yet fully achieved the IDX’s intended objectives and may have introduced short-term reactionary trading behavior. This study is expected to provide a new perspective for exchange members and regulators on how the new FCA rules have been implemented by the IDX since 2024, so that evaluation and readjustment can be carried out to help improve market efficiency, especially for high-risk and illiquid assets.

Kata Kunci : Full-Call Auction, Volatility, Market Tightness, Market Depth, Indonesia Stock Exchange, Market Efficiency