IS INFORMATION DISCLOSURE SYSTEM IMPROVES MARKET PERFORMANCE? CASE OF INDONESIAN STOCK EXCHANGE release_rev_d971d918-aa81-4f62-a163-205a972339f5

Abstract

Information disclosure prior to opening is implemented by Indonesian stock exchange for improving the pre-market information closure transparency. Based on the policy, information related to the bid/ask volume, five best bid/ask prices, trading volume, and transaction price is disclosed. In this study, investigation is made about the influence of pre-market information on the market quality measures including volatility, liquidity, and trading volume. Intraday day data is collected within the opening of first five minutes or one minute in selected months. Results of the study indicate that pre-market information disclosure transparency is influencing the market quality measures significantly.
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