PENGARUH OVERREACTION TERHADAP HARGA SAHAM

2011 ◽  
Vol 7 (1) ◽  
pp. 31
Author(s):  
Umi Murtini ◽  
Yonathan K. Widyatmadja
Keyword(s):  
Market Efficiency ◽  
Capital Market ◽  
Share Prices ◽  
Adjusted Model ◽  
The Impact ◽  
Loser Portfolio

This research aims to test the impact of market over reaction toward share prices on winner portfolio and loser portfolio. This is done using market adjusted model. The result indicates that there is an impact on over reaction toward share prices for loser portfolio and winner portfolio shares. This indicates that capital market efficiency in Indonesia is not yet strong.Overreaction happening on winner portfolio differs from loser portfolio.Keywords: overreaction, winner portfolio, loser portfolio, market adjusted model

scholarly journals Revised Malaysian Shariah Screening: Its Impact on Islamic Capital Market

2019 ◽  
Vol 10 (1) ◽  
pp. 17
Author(s):  
Fauzias Mat Nor ◽  
Amir Shaharuddin ◽  
Ainulashikin Marzuki ◽  
Nur Ainna Ramli
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Negative Impact ◽  
Advisory Council ◽  
Qualitative Assessment ◽  
Financial Ratio ◽  
Share Prices ◽  
Fund Managers ◽  
Event Study Method ◽  
The Impact

Shariah Advisory Council (SAC) of Securities Commission (SC) formulated a new revised Shariah screening methodology of two-tier quantitative assessment for activity-based screening benchmarks and the newly- formulated financial ratio benchmarks, while the qualitative assessment remains the same. The revised methodology is an effort to expand the Islamic capital market’s (ICM) international reach which is in line with the SC objectives. The objective of this paper is to examine the impact of the recent announcement of new changes in the Shariah screening methodology by the Malaysian Securities Commission on the share prices of the affected companies and Islamic capital market. We use an event study method to see if the changes have a significant reaction from the market, specifically, from investors and fund managers. On the announcement date, that is, on 29 November 2013, 158 non-Shariah compliant stocks were removed from the previous list of Shariah compliant stock that was issued in May 2013 and 16 stocks were added to the approved list. Out of 158 non-Shariah compliant stocks, only 137 stocks are available for the analysis. For the new Shariah compliant stocks, only 16 stocks are included in the sample. We find an immediate but short lived negative impact on the stock returns towards the deletion, but none towards the addition of new stocks to the Shariah index. However, the announcement has no significant impact on the overall return of the FBM Emas Shariah index.

Testing Stock Market Efficiency Using Risk-Return Parity Rule

1988 ◽  
Vol 13 (2) ◽  
pp. 61-66
Author(s):  
N P Srinivasan ◽  
M S Narasimhan
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Market ◽  
Industrial Growth ◽  
Information Efficiency ◽  
Share Prices ◽  
Risk Return ◽  
Parity Rule ◽  
Stock Market Efficiency ◽  
The Subject

Although the concepts of efficiency have been extensively researched, an efficient stock market has remained elusive. The subject is of particular concern in India now because of the increasing dependence on the capital market for financing industrial growth. S K Barua and V Raghunathan presented two articles in Vikalpa (July-September 1986 and July-September 1987) arguing that the Indian capital market was inefficient. Using Reliance share prices, they tried to demonstrate that schemes yielding returns unrelated to risk existed. Srinivasan and Narasimhan in this article question the methodology used by Barua and Raghunathan and elaborate on the concepts of risk-return parity and efficiency, drawing a distinction between information efficiency and market efficiency.

scholarly journals Impact of Accounting Information on Share Price: Empirical Evidence from Pakistan Stock Exchange

2016 ◽  
Vol 3 (1) ◽  
pp. 124
Author(s):  
Muhammad Asif ◽  
Kashif Arif ◽  
Waqar Akbar
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Accounting Information ◽  
Time Frame ◽  
Share Price ◽  
Share Prices ◽  
The Impact ◽  
The Relationship

Purpose—The purpose of this paper is to examine the relationship between accounting information and share price. In order to achieve this, a model that includes specific accounting ratios (earning per share, book value per share, capital employed per share and operating cash flow per share) and shares a price is developed. Design/methodology/approach—The data were collected from the companies listed in KSE-30 index. The time frame spans from 2006 to 2013 and OLS regression models were used to examine the relationshipsFindings—The resulting evidence suggest that accounting information parameters have significant influence on share price and they have joint explanatory power in determining stock prices. This research finds the consistent results with pervious empirical researches.Originality/value—The present study adds to the existing literature by examining the impact of accounting information on share prices within the context of an emerging capital market such as Pakistan Stock Exchange using KSE-30 companies. This is believed to be the first study which considers the aforementioned issues in the Pakistan’s capital market environment.

scholarly journals Dampak Aliran Dana Asing terhadap Fluktuasi Harga Saham (Studi pada Saham-Saham dalam Kelompok JII-70)

2021 ◽  
Vol 7 (3) ◽  
pp. 135
Author(s):  
Nurharyati Panigoro
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Foreign Capital ◽  
Share Prices ◽  
Panel Data Regression ◽  
Data Regression ◽  
Foreign Capital Flows ◽  
The Impact ◽  
Daily Period

Derasnya aliran dana asing yang masuk ke pasar modal Indonesia membuat meningkatnya nilai kapitalisasi di pasar modal. Transaksi asing terhadap suatu saham juga akan menjadi sinyal positif bagi investor dalam menilai kualitas fundamental suatu saham. Penelitian ini bertujuan untuk melihat dampak aliran dana asing (beli dan jual) terhadap fluktuasi harga saham. Sampel yang digunakan dalam penelitian ini sebanyak 10 perusahaan yang diambil dari daftar kelompok saham-saham yang masuk dalam Jakarta Islamic Index (JII). Data yang digunakan berupa data transaksi posisi asing dan harga penutupan saham pada periode harian selama bulan Oktober–Desember 2020. Dengan menggunakan teknik regresi data panel diperoleh kesimpulan bahwa posisi jual-beli asing memberikan pengaruh yang positif dan signifikan dalam perubahan harga saham perusahaan. Pembelian asing akan mampu memberikan efek kenaikan harga saham, demikian pula sebaliknya.   Swift flow of foreign funds into the capital market has increased the capitalization of transactionin the stock market. Foreign transactions against a stock will also be a positive signal for investors in assessing the fundamental quality of a stock. The purpose of this study is to determine the impact of foreign capital flows (buying and selling) on stock price fluctuations. The sample used in this study were 10 companies taken from the list of stocks included in the Jakarta Islamic Index (JII). The data used is in the form of foreign position transaction data and stock closing prices in the daily period during October - December 2020. By using the panel data regression technique, it is concluded that the foreign trade position has a positive and significant effect on changes in the company’s stock price. Foreign purchases will be able to give the effect of an increase in share prices, and vice versa.

scholarly journals Analysis of Securities Analysts Impact on China’s Capital Market Efficiency

2016 ◽  
Vol 2 (1) ◽  
pp. 110
Author(s):  
Bing Yang ◽  
Xiaolin Li
Keyword(s):  
Market Efficiency ◽  
Capital Market ◽  
Stock Price ◽  
Allocation Of Resources ◽  
Stock Price Synchronicity ◽  
Empirical Results ◽  
Regulatory Authorities ◽  
Securities Analysts ◽  
Securities Industry ◽  
The Impact

This paper explores the impact of securities analysts on China’s capital market efficiency from the perspective of the stock price synchronicity. Empirical results show that increased securities analysts can improve capital market efficiency, but this effect is limited with economical insignificant. We recommend that the Chinese Securities’ Regulatory Authorities need to further the reform of the securities industry consulting system, thus enhance the capital market efficiency of allocation of resources.

scholarly journals Market Efficiency of Indian Capital Market: An Event Study Around the Announcement of Results of Lok Sabha Election 2019

2020 ◽  
Vol 12 (1) ◽  
pp. 60
Author(s):  
Nazreen Parveen Ali ◽  
Ashit Saha
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Prices ◽  
Public Information ◽  
Market Model ◽  
Event Window ◽  
Share Prices ◽  
Indian Stock Market ◽  
The Impact ◽  
Adf Test

Market efficiency categorizes a stock market into three sections based on the reaction of share prices to private and public information. This paper mainly deals with reactions of stock market dynamics to information in political events considering the impact of result announcement of the Lok Sabha Elections 2019 on the Indian Stock market as reflected in the behaviour of share prices. Taking BSE 100 as the proxy market, daily closing stock prices of the 30 companies listed in BSE SENSEX was used. An estimation window of 120 trading days was taken prior to the event window. The standard Market model was applied to calculate the AAR and CAAR during the event window of 21 days. Further the Augmented Dickey Fuller (ADF) Test for unit root is applied to measure the stationary of the variables and the presence of ARCH/GARCH effect is tested to understand the volatility during the study period. The Runs Test was used to test the randomness of AAR and the paired sample t test was applied to check the impact of the event on the volume of trading. Consistent negative returns were observed following the event. But the absence of volatility and the insignificant results indicated that market efficiency Indian Stock Market is in a semi strong form.

scholarly journals Prediksi Harga Saham Perusahaan Operator Telekomunikasi Selular pada Masa Pandemi Menggunakan Metode Binomial

2021 ◽  
Vol 1 (1) ◽  
pp. 1-6
Author(s):  
Ferliana ◽  
Yani Ramdani ◽  
Yurika Permanasari
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Mobile Telecommunications ◽  
Binomial Tree ◽  
Share Prices ◽  
Corona Virus ◽  
Short Time ◽  
Difficult Times ◽  
The Impact

Abstract. The corona virus causes all activities to be carried out online so that all activities require Internet access which makes mobile telecommunications operator companies one of the promising investments in this pandemic. Stock investing allows investors to get profits in a relatively short time. Investments in stocks are currently unstable, as the whole world has been in difficult times since the coronavirus. Capital market players can feel the loss, which causes share prices to tend to decline. The impact of the corona virus is to paralyze all areas, especially the economy, so that an investor must be able to predict an increase or decrease in stock prices. The binomial method helps investors to predict the possibility of a stock price that will occur and is clarified by using a binomial tree that can be predicted in the form of stock prices by having the possibility of four predictions, two predictions describing an increase in shares and two other predictions describing the possibility of a falling stock price. Abstrak. Virus korona menyebabkan semua kegiatan dilakukan melalui daring (online) sehingga semua kegiatan memerlukan akses Internet yang membuat perusahaan operator telekomunikasi seluler menjadi salah satu investasi yang menjanjikan dimasa pandemi ini Investasi ialah komitmen menempatkan sejumlah dana dalam waktu yang cukup lama untuk memperoleh keuntungan di masa datang. Investasi saham memungkinkan investor mendapatkan keuntungan  dalam waktu yang relatif singkat. Investasi dalam bentuk saham pada saat ini tidaklah stabil, karena seluruh dunia dalam masa sulit semenjak adanya virus korona. Kerugianpun dapat dirasakan oleh pelaku pasar modal yang menyebabkan harga saham cenderung menurun. Dampak virus korona adalah melumpuhkan segala bidang terutama perekonomian sehingga sebagai seorang investor harus bisa memprediksi peningkatan atau penurunan harga saham. Metode binomial membantu investor untuk memprediksi kemungkinan harga saham yang akan terjadi dan diperjelas dengan menggunakan pohon binomial hasil prediksi yang di dapat berupa harga saham dengan memiliki kemungkinan empat prediksi dua prediksi menggambarkan kenaikan saham dan dua prediksi lain menggambarkan kemungkinan harga saham turun.

Sign in / Sign up

Export Citation Format

Share Document