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Abstrak :
Regulasi price limit seharusnya dapat mengurangi gejala volatilitas harga saham yang berlebihan ketika market dalam keadaan crash. Mengacu pada penelitian Kim (1997) dan Huang (2001) penelitian ini dimaksudkan untuk melihat efektifitas regulasi price limit yang diterapkan di Bursa Efek Indonesia selama periode 2007-2008. Jika memang price limit terbukti mengurangi volatilitas maka overreaction hypothesis yang dikemukakan oleh Huang (2001) akan terbukti. Tetapi jika tidak, penelitian ini kemudian dikembangkan mengacu pada penelitian Kim (1997) untuk menguji ketiga hipotesis masalah baru yang muncul akibat adanya regulasi price limit. Ketiga hipotesis tersebut adalah volatility spillover hypothesis, delayed price discovery hypothesis, dan trading interference hypothesis.

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Daily price limits should reduce volatility of the stock price where market had crashed. Refers to research conducted by Kim (1997) and Huang (2001), this research is intended to see the effectiveness of price limits on the Indonesia Stock Exchange during the 2007-2008 period. If price limit is effective to reduce the volatility of the stock prices, then overreaction hypothesis stated by Huang (2001) will be proved. But if not, this research will be extended based on Kim?s (1997) to test the three new hypotheses of new issues that arise due to price limits. The three hypotheses are volatility spillover hypothesis, delayed price discovery hypothesis, dan trading interference hypothesis.

Abstrak :
ABSTRAK Regulasi price limit seharusnya dapat mengurangi gejala volatilitas harga saham yang berlebihan ketika market dalam keadaan tidak baik. Penelitian ini dimaksudkan untuk menganalisis pengaruh price limit terhadap pergerakan harga saham pada satu hari perdagangan yang pada hari itu harga saham bergerak sempat menyentuh batas maksimal atau batas minimal transaksi harian. Penilitian ini menggunakan data seluruh saham yang ada di Bursa Efek Indonesia selama periode 2008 ndash; 2015 dan menggunakan metode Overreaction Hypothesis yang dikemukakan Huang 2001 . Hasil dari penelitian ini menunjukan bahwa regulasi price limit di Bursa Efek Indonesia belum efektif mengurangi volatilitas yang terlihat dari tidak adanya gejala overreaction.

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ABSTRACT Price limits regulation should reduce the symptoms of excessive stock price volatility when market in bad condition. This research is to analyze the effect of price limit on stock price movements on the day of trading that the price had touched the maximum or minimum daily limit transactions. This research used data of all existing shares in the Indonesian Stock Exchange during the period 2008 2015 and use the Overreaction Hypothesis method that proposed by Huang 2001 . The results of this study indicate that the limit price regulation in the Indonesian Stock Exchange has not been effective in reducing the volatility seen from the absence of overreaction symptoms.