scholarly journals Investor behavior under the Covid-19 pandemic: the case of Indonesia

2020 ◽  
Vol 17 (3) ◽  
pp. 308-318
Author(s):  
Novi Swandari Budiarso ◽  
Abdul Wahab Hasyim ◽  
Rusman Soleman ◽  
Irfan Zam Zam ◽  
Winston Pontoh
Keyword(s):  
Prospect Theory ◽  
Capital Market ◽  
Signaling Theory ◽  
Stock Index ◽  
Investor Behavior ◽  
Market Theory ◽  
Efficient Market ◽  
Efficient Market Theory ◽  
The Impact ◽  
The Relationship

This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypotheses, the correlation test, the independent sample t-test and the Cohen test for 629 public firms with 52,836 observable data are used. The findings show that for financial sectors and non-financial sectors, the fourth period differs from previous periods when the relationship between systematic risk and stock returns is positive, although only non-financial sectors have a significant effect. The results show that efficient market theory, prospect theory and signaling theory are consistent with the phenomena around the Covid-19 pandemic in Indonesia. In addition, Cohen’s test results suggest that government policies in the face of the pandemic are successful in stimulating the market.

An Empirical Research of Impact of the Merger of Pan-European and Oslo Stock Exchanges on the Efficiency of Tobacco Securities Market

2021 ◽  
Vol 7 (4) ◽  
pp. 568-587
Author(s):  
Dongpeng Xu ◽  
Deqin Lin ◽  
Dan Zhang
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Secondary Market ◽  
Securities Market ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Theory ◽  
Efficient Market Theory ◽  
The Impact

Objectives: Europe is one of the important markets for traditional tobacco. We analyzed the impact of exchange consolidation on securities market efficiency, so as to enable tobacco enterprises to improve the financing efficiency of the stock market and carry out transformation and upgrading. Methods: In this work. We’re based on efficient market theory, the merger of Pan-European Stock Exchange and Oslo Stock Exchange, Norway in June 2019 is analyzed through empirical analysis. The logarithmic returns of 25 listed companies in the Oslo Stock Exchange OBX-25 index were analyzed using OLSN Chow and KPSS tests. Results: It is found that of 72% of securities, the explanatory power of market returns for securities returns is increased, which shows significant improvement in market efficiency. The merger of stock exchanges can indeed improve the market efficiency. In addition, through the KPSS test, it is found that the merger of stock exchanges can improve the market efficiency. As time goes by, however, the validity decreases. Conclusion: The improvement of the efficiency of the securities market will be conducive to the financing efficiency of listed tobacco companies in the secondary market, promote the transformation of enterprises, and contribute to the tobacco control and the health of the population in Europe.

scholarly journals Martingales, Efficient Market Hypothesis and Kolmogorov’s Complexity Theory

2011 ◽  
Vol 2 (6) ◽  
pp. 252-258
Author(s):  
Amaresh Das
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Stock Returns ◽  
Complexity Theory ◽  
Efficient Market Hypothesis ◽  
Market Theory ◽  
Efficient Market ◽  
Price Changes ◽  
Efficient Market Theory ◽  
Theoretical Considerations

Efficient market theory states that financial markets can process information instantly. Empirical observations have challenged the stricter form of the efficient market hypothesis (EMH). These empirical observations and theoretical considerations show that price changes are difficult to predict if one starts from the time series of price changes. This paper provides an explanation in terms of algorithmic complexity theory of Kolmogorov that makes a clearer connection between the efficient market hypothesis and the unpredictable character of stock returns.

scholarly journals Does The Efficient Market Theory In The Weak Form Exist? Evidence From Indonesia

2021 ◽  
Vol 21 (2) ◽  
pp. 183
Author(s):  
Bram Hadianto ◽  
Hendrik Hendrik ◽  
Trishya Yuwana
Keyword(s):  
Composite Index ◽  
Weak Form ◽  
Sufficient Information ◽  
Market Theory ◽  
Efficient Market ◽  
Market Index ◽  
Efficient Market Theory ◽  
Thin Market ◽  
Efficiency Theory ◽  
Daily Returns

In the weak-form market efficiency theory, investors cannot predict the movement of all prices because of randomness. This circumstance happens because of a quick market reaction to new information. Conversely, suppose the market is not efficient in this shape; in that case, the investors can obtain an abnormal return. One of the reasons is the thin market, where many inactive stocks to be traded are available. Based on these issues, this research intends to examine this theory by employing runs testing on the daily returns of the Indonesia Composite Index (ICI) between January 2014 and December 2018 for each year and a whole. Once performing this test, this research demonstrates that the daily returns of the ICI are random for both situations. By denoting these facts, this research concludes that the capital market in Indonesia is efficient in a weak form and experiences a decrease in the thin level, reflected by the escalation in trading frequency, volume, and value, as well as the number of dynamic shares transacted. This research suggests that investors without sufficient information should utilize the service of the securities analysts to select the stocks they buy and sell to get the capital gain. Keywords – an efficient market in the weak form; market index return; runs test; thin market

scholarly journals Are ESG Shares a Safe Haven during COVID-19? Evidence from the Arab Region

2021 ◽  
Vol 14 (1) ◽  
pp. 208
Author(s):  
Musaab Mousa ◽  
Adil Saleem ◽  
Judit Sági
Keyword(s):  
Composite Index ◽  
Stock Index ◽  
Arab Region ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Market Shocks ◽  
Stock Indexes ◽  
The Impact ◽  
The Relationship

The world experienced significant changes in its social and economic lives in 2020–21. Major stock markets experienced an immediate decline. This paper attempts to examine the impact of COVID-19 on stock market performance as well as to identify the differences between the responses of ESG stocks and normal stocks to pandemic conditions in the Arab region. Daily time series for three years between March 2019 and March 2021 were collected for the S&P Pan Arab Composite index and S&P/Hawkamah ESG Pan Arab Index. We used a generalized autoregressive conditional heteroscedasticity (GARCH) model to measure market shocks and a non-linear autoregressive distributed lagged (NARDL) regression model to display the relationship between COVID-19 measurements and the performance of stock indexes. The findings suggest that the volatilities of ESG portfolios and conventional ones were equally affected in the pre-COVID period. However, in the post-COVID period, the magnitude of volatility in the ESG stock index was significantly less compared to that of the conventional stock index. The results also revealed that in the ESG market, shock tended to remain for a shorter period. Furthermore, the ESG index was not affected by the number of confirmed cases and deaths. However, evidence of asymmetric long-run cointegration existed between the S&P index and number of cases and deaths. Increases in the numbers of cases and deaths caused a decline in market index, whereas the reverse trends were observed in the retreat of the pandemic.

scholarly journals Open-End Funds for Sustainable Economic Growth in China: The Relationship between Load Fees, Performance, and Flows

2019 ◽  
Vol 11 (22) ◽  
pp. 6514
Author(s):  
Yaping Xiao ◽  
Haishu Qiao ◽  
Ting Xie
Keyword(s):  
High Load ◽  
Investor Behavior ◽  
Fund Flows ◽  
Distraction Effect ◽  
Fee Structure ◽  
Low Performance ◽  
Almost All ◽  
Sustainable Economic Growth ◽  
The Impact ◽  
The Relationship

The financial market, including the fund market, has an increasingly important role in facilitating sustainable economic development. In this study, we examine whether investors react rationally to fund fees through the investigation of the impact of fee structures on investor behavior with open-end funds in China. We aim to determine whether performance influences the effect of the load fee on fund flows. Based on panel data that contained 240 open-end funds for the period of 2008 to 2017, we offer insight into the relationship between fee structure and the flow of open-end funds in China and find that investors react more sensitively to the load fee than operating expenses. Specifically, the coefficients of operating expenses were found to be insignificant in all regression analyses, while almost all the coefficients of load fees were statistically significant. In addition, our findings indicate that the load fee decreases net flow mainly through increasing redemption, and high load fees can make investors more rational to redeem funds with low performance. High load fees can influence investors to sell funds that perform worse in moderately performing funds, where a high load fee can increase investors’ rationality and motivate them to sell funds, resulting in the mitigation of the disposition effect. We also find that investors in larger funds and aggressive growth funds, as well as those who invest with institutional investors and higher liquidity, react more insensitively to load fees, which can be illustrated by the distraction effect.

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