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"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."

"ABSTRAKAda insentif yang jelas bagi pelaku pasar untuk memanipulasi harga penutupan karena pentingnya harga penutupan, harga yang paling umum digunakan untuk berbagai tujuan. Dalam rangka memastikan pembentukan harga yang lebih efektif pada harga penutupan saham, pada tanggal 2 Januari 2013, Bursa Efek Indonesia BEI memperkenalkan metode call auction pre-closing pada sesi penutupan pasar saham. Tujuan penelitian ini adalah untuk mengetahui pengaruh implementasi tersebut terhadap eksistensi manipulasi harga penutupan dengan menggunakan data intraday.Analisis ini berfokus pada 4 bulan sebelum dan 4 bulan setelah diterapkannya pre-closing, yaitu dari bulan September 2012 sampai April 2013. Sampel representatif mencakup 37 saham yang masuk indeks LQ45 untuk keseluruhan periode, yang merupakan saham-saham dengan kapitalisasi pasar terbesar dan paling likuid. Dalam penelitian ini juga dibahas pola intraday yang diuji secara empiris baik sebelum dan sesudah penerapan pre-closing.Analisis data yang diperoleh menunjukkan bahwa 10 menit terakhir perdagangan adalah waktu perdagangan yang paling aktif sepanjang hari. Secara umum dibuktikan bahwa sebelum diterapkannya pre-closing, return 10 menit dari Indeks Harga Saham Gabungan IHSG dan sampel saham meningkat secara dramatis. Dengan tujuan untuk mengetahui apakah abnormal return tersebut terjadi akibat adanya manipulasi harga penutupan atau tidak, penelitian ini menggunakan pengujian model yang dikembangkan oleh Felixson dan Pelli 1999 . Hasil penelitian mengungkapkan adanya manipulasi harga penutupan di pasar saham Indonesia dan menunjukkan bahwa penerapan pre-closing telah mengurangi kemungkinan terjadinya manipulasi harga penutupan.

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ABSTRACTThere are obvious incentives for market participants to manipulate the closing price due to the significance of the closing price, the price that is most commonly used for many purposes. To ensure more effective price formation at closing price, on January 2, 2013, the Indonesia Stock Exchange IDX introduced a pre closing call auction method to close the stock market. The purpose of this paper is to investigate its effect on closing price manipulation using intraday data.The analysis focuses on 4 months before and 4 months after the introduction of pre closing, which is from September 2012 to April 2013. We use a representative sample which includes 37 stocks that composed the LQ45 stock index, the most liquid and largest market capitalization stocks, for the whole period. In this paper, we discuss some of the empirically observed intraday patterns both before and after the implementation of pre closing.Our data suggest that the last 10 minute of trading is the most active of the whole day. We document that before the introduction of pre closing, the 10 minute returns of both the IDX Composite Index IHSG and our sample stocks increased dramatically. To determine whether or not manipulation of closing prices exists, this study uses a test developed by Felixson and Pelli 1999 . Our results reveal the existence of closing price manipulation in Indonesia stock market and show that the implementation of pre closing has reduced closing price manipulation."

"ABSTRAKNama : MahmudahProgram Studi : Magister ManajemenJudul : Manipulasi Harga Penutupan di Bursa Efek IndonesiaPenelitian ini bertujuan untuk mengetahui manipulasi harga penutupan di Bursa Efek Indonesia dengan data sampel periode September 2016 hingga Februari 2017. Dari dua puluh saham dengan kapitalisasi pasar terbesar, ditemukan delapan saham yang terindikasi mengalami manipulasi harga penutupan. Penelitian ini dilengkapi dengan wawancara dealer, fundamental perusahaan, peristiwa internal dan eksternal yang mempengaruhi imbal hasil dan price reversal. Ditemukan 31 keterbukaan informasi yang dilaporkan setelah jam perdagangan memiliki efek price reversal pada keesokan pagi. Terdapat pergeseran volume transaksi yang signifikan ke sesi pre-closing, mengindikasikan pentingnya nilai ekonomi pada sesi penutupan, dan peningkatan volatilitas yang menunjukkan bahwa harga penutupan bersifat sementara.Kata kunci:Manipulasi harga penutupan, keterbukaan informasi, pre-closing, price reversal, volatilitas, volume transaksi.

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ABSTRACTName MahmudahStudy Program Master of ManagementTittle Closing Price Manipulation in Indonesia Stock ExchangeThis study examined closing price manipulation in Indonesia Stock Exchange. We use the data sample during September 2016 to February 2017. From twenty biggest market capitalizations, there are eight stocks that were indicated having closing price manipulation. This study also featured deep interview with equity dealers, fundamental, internal external events and found that 31 of information disclosures reported to IDX after market close has effect on price reversal. There is significant proportion of volume shifts to pre closing indicates the economic importance of the last minutes of trading, and the heightened volatility suggests that closing price contains transitory component.Keywords Closing price manipulation, information disclosure, pre closing, price reversal, transaction volume, volatility."