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Trading Halts and Intraday Stock Return Volatility in the Indonesia Stock Exchange

Author

Listed:
  • Irwan Adi Ekaputra

    (Lecturer, Faculty of Economics University of Indonesia.)

  • Sally Dwijayanti

    (Faculty of Economics, University of Kristen Satya Wacana, Salatiga)

Abstract

The main rationale of trading halts is to allow investors enough time to digest pertinent information dispersed by publicly listed corporations. If the suspensions are properly executed, they should reduce information asymmetry, and thus should also trim down stock return volatility. The primary objective of this study is to examine the effectiveness of trading halts in reducing intraday stock return volatility in the Indonesia Stock Exchange (IDX). The sample of this study comprises of 28 trading halts (events) triggered by significant price movements during 2004. Using intraday data, we construct a thirty minute observation interval, and a window of one day before and one day after the event. Statistical tests of mean difference and cross-sectional multiple regression show that trading halts do not significantly reduce intraday stock return volatility.

Suggested Citation

  • Irwan Adi Ekaputra & Sally Dwijayanti, 2008. "Trading Halts and Intraday Stock Return Volatility in the Indonesia Stock Exchange," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 56, pages 261-274, December.
    • Handle: RePEc:lpe:efijnl:200813
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    More about this item

    Keywords

    Indonesia Stock Exchange; trading halts; information asymmetry; intraday return volatility;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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