Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges

Abstract

This paper examines the impact of opening rules on stock market efficiency. In particular, it contrasts the opening call on the Australian Stock Exchange (ASX) and the continuous open on the Jakarta Stock Exchange (JSX). The results suggest that the use of a call enhances market efficiency by increasing liquidity and lowering volatility at the open. The results also indicate that some of the benefits associated with a call accrue even when there is no trading at the call. These results suggest that the use of a call market at the open may add to the efficiency of the JSX and other similar markets.