Closing Price Manipulation in Indonesia Stock Exchange

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.