Proceedings of the International Conference on Business and Management Research (ICBMR 2017)

Closing Price Manipulation in Indonesia Stock Exchange

Authors
Mahmudah Fatluchi, Rofikoh Rokhim
Corresponding Author
Mahmudah Fatluchi
Available Online November 2017.
DOI
10.2991/icbmr-17.2017.14How to use a DOI?
Keywords
Closing price manipulation; information disclosure; pre-closing; price reversal; transaction volume; volatility.
Abstract

This study examined closing price manipulation in Indonesia Stock Exchange using return correlation, return volatility and volume shifting. The study utilized the data sample during September 2016 to February 2017. From 20 biggest market capitalizations, more than 50% of the sample were indicated having closing price manipulation. This study also featured deep interview with market practitioners, fundamental and internal external events. The results show that 31% of information disclosure reported to IDX after market close has effect on price reversal. There was also 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.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the International Conference on Business and Management Research (ICBMR 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
November 2017
ISBN
10.2991/icbmr-17.2017.14
ISSN
2352-5428
DOI
10.2991/icbmr-17.2017.14How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Mahmudah Fatluchi
AU  - Rofikoh Rokhim
PY  - 2017/11
DA  - 2017/11
TI  - Closing Price Manipulation in Indonesia Stock Exchange
BT  - Proceedings of the International Conference on Business and Management Research (ICBMR 2017)
PB  - Atlantis Press
SP  - 148
EP  - 157
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-17.2017.14
DO  - 10.2991/icbmr-17.2017.14
ID  - Fatluchi2017/11
ER  -