PENGARUH SESI PRE-OPENING TERHADAP PEMBENTUKAN HARGA SAHAM (PRICE DISCOVERY): VOLATILITAS HARGA DI BURSA EFEK INDONESIA (BEI)

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