The Behavior of Opening and Closing Prices Noise and Overreaction

Sumiyana, Sumiyana

doi:10.22146/gamaijb.5542

Jurnal SINTA 1

The Behavior of Opening and Closing Prices Noise and Overreaction

Sumiyana, Sumiyana^{Universitas Gadjah Mada}

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 11 No. 1 (2009) · pp. 73–116

DOI: 10.22146/gamaijb.5542
ISSN: 2338-7238, 1411-1128
Published: 2009-01-12
Publisher: Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language: eng

Abstract

This study extends several previous studies that conclude that noise and overreaction on intraday data occur. Those studies have yet to be clear about the kind of price that explains for this noise and overreaction. This study examines the opening price and closing price behavior, and tries to explain the noise and overreaction on the Indonesia Stock Exchange using intraday data in every 30-minute interval. Sample is firms listed in LQ45 index. Sequentially, this research sample is filtered to stocks that are the most actively traded on the Indonesia Stock Exchange based on trading frequency in an observation period from January to December 2006. This research finds that noise and overreaction phenomena always occur in the opening and closing prices. In addition, investors actually correct the noise and overreaction that occur simultaneously at the first 30-minute interval on every trading day.

Keywords

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4 authors · 6 co-authorship links

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Universitas Gadjah Mada

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Co-author	Organisation	Joint articles
Jogiyanto Hartono	Universitas Gadjah Mada	1
Slamet Sugiri	Universitas Gadjah Mada	1
Zaki Baridwan	Universitas Gadjah Mada	1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 1 Nov 2026.

Original metadata (oai_dc)

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	<dc:title xml:lang="en-US">The Behavior of Opening and Closing Prices Noise and Overreaction</dc:title>
	<dc:creator>Sumiyana, Sumiyana</dc:creator>
	<dc:subject xml:lang="en-US">General Financial Markets; Portfolio Choice; Investment Decisions; Information and Market Efficiency; Event Studies</dc:subject>
	<dc:subject xml:lang="en-US">closing price; noise; opening price; overreaction</dc:subject>
	<dc:description xml:lang="en-US">This study extends several previous studies that conclude that noise and overreaction on intraday data occur. Those studies have yet to be clear about the kind of price that explains for this noise and overreaction. This study examines the opening price and closing price behavior, and tries to explain the noise and overreaction on the Indonesia Stock Exchange using intraday data in every 30-minute interval. Sample is firms listed in LQ45 index. Sequentially, this research sample is filtered to stocks that are the most actively traded on the Indonesia Stock Exchange based on trading frequency in an observation period from January to December 2006. This research finds that noise and overreaction phenomena always occur in the opening and closing prices. In addition, investors actually correct the noise and overreaction that occur simultaneously at the first 30-minute interval on every trading day.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2009-01-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5542</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5542</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 11, No 1 (2009): January - April; 73 - 116</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5542/4513</dc:relation>
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