Price volatility of Indonesian stocks

Abstract

The first-order serial dependence between overnight returns and following daytime returns and between overnight returns and preceding daytime returns is evaluated to gain insight into the intraday volatility behavior of Indonesian stocks. The pattern of price reversals and price continuations observed for Indonesian stocks is different from the U.S. and Japanese markets, reflecting differences in market microstructure of the three markets. Price reversals are dominant over price continuations at the market open as well as market close for Indonesian stocks. These results are different from the U.S. experience since high-volume U.S. stocks tend to show price continuity at the market close, an attribute that is associated with the stabilization activities by market-makers. These results are also different from the Japanese experience which also shows strong price continuations at the market close.