scholarly journals Study on the Wandering Weekday Effect in the Indonesian Capital Market Based on Trend Moderation Effect

2020 ◽  
Vol 5 (1) ◽  
pp. 10-20
Author(s):  
Usman Arief
Keyword(s):  
Market Efficiency ◽  
Capital Market ◽  
Stock Exchange ◽  
Moderation Effect ◽  
Monday Effect ◽  
Price Data ◽  
Changes Over Time ◽  
Over Time ◽  
Distribution Error

This study investigates a wandering weekday effect, an assumption anomaly from fixed weekday effect to changes over time, under the moderation effect of market trend. We employ daily price data from the Jakarta Stock Exchange (JKSE) from 2000 to 2019. This study reveals that the fixed weekday effect has diminished when we introduced a market trend. Using robustness of distribution error, our further studies find that there is a negative wandering Monday effect when the market is falling. The findings provide a crucial contribution to market efficiency and help to reconcile mixed findings in previous studies

scholarly journals Hubungan Perilaku Perdagangan Investor Dengan Volume Perdagangan Di Bursa Efek Indonesia

2009 ◽  
Vol 2 (1) ◽  
Author(s):  
Ghazali Syamni
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Time Interval ◽  
Time Intervals ◽  
Using Data ◽  
Changes Over Time ◽  
Relationship Of ◽  
The Relationship ◽  
Order Pattern ◽  
Over Time

This paper examines the relationship of behavior trading investor using data detailed transaction history-corporate edition demand and order history in Indonesia Stock Exchange during period of March, April and May 2005. Peculiarly, behavior placing of investor order at trading volume. The result of this paper indicates that trading volume order pattern to have pattern U shape. The pattern happened that investors have strong desires to places order at the opening and close of compared to in trading periods. While the largest orders are of market at the opening indicates that investor is more conservatively when opening, where many orders when opening has not happened transaction to match. In placing order both of investor does similar strategy. By definition, informed investors’ orders more large than uninformed investors. If comparison of order examined hence both investors behavior relatively changes over time. But, statistically shows there is not ratio significant. This implies behavior trading of informed investors and uninformed investors stable relative over time. The result from regression analysis indicates that informed investors to correlate at trading volume in all time intervals, but not all uninformed investors correlates in every time interval. This imply investor order inform is more can explain trading volume pattern compared to uninformed investor order in Indonesia Stock Exchange. Finally, result of regression also finds that order status match has greater role determines trading volume pattern intraday especially informed buy match and informed sale match. While amend, open and withdraw unable to have role to determine intraday trading volume pattern.

scholarly journals Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange

2004 ◽  
Vol 39 (2) ◽  
pp. 327-341 ◽  
Author(s):  
Yi-Tsung Lee ◽  
Yu-Jane Liu ◽  
Richard Roll ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Large Individual ◽  
Domestic Institutions ◽  
Market Making ◽  
Taiwan Stock Exchange ◽  
Market Makers ◽  
Order Imbalance ◽  
Individual Traders ◽  
Over Time

AbstractData from the Taiwan Stock Exchange identify the originator of each submitted order, and there are no designated dealers or specialists. We study marketable order imbalances, i.e., the net order flow resulting from trades that demand immediacy. We distinguish imbalances by trader type (individuals, domestic institutions, foreign institutions) and by the usual size of each trader's order. Day-to-day persistence in order imbalance is strongest for small foreign institutions and weakest for large individual traders. Such persistence emanates both from splitting orders over time and from herding, and there is little evidence that aggregate price pressures from such persistence last beyond a trading day, indicating that de facto market making is quite effective. We attempt to discern which types of traders are de facto liquidity providers, which are likely to be informed, and which trade for liquidity reasons. The evidence indicates that all trader classes are successful market makers, large domestic institutions conduct the most informed trades, and large individuals are noise or liquidity traders.

CAPITAL MARKET EFFICIENCY: A Test of the Strong Form in Nigeria

2012 ◽  
Vol 02 (03) ◽  
pp. 12-18
Author(s):  
Azeez B.A. ◽  
Sulaiman L.A.
Keyword(s):  
Market Efficiency ◽  
Mutual Funds ◽  
Capital Market ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Strong Form ◽  
Market Participant ◽  
Stock Volatility ◽  
Volatility Risk ◽  
Average Return

The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test whether the strong form of market efficiency prevail in the Nigerian capital market or not. With the extraction of the returns on 240 stocks from the database of the Nigerian Stock Exchange (NSE), a comparison was made between a constructed random portfolio and a 3-year annualized average return on the portfolios of the mutual fund industry. In this empirical study, the analysis deduced that mutual funds were unable to out-perform the random portfolios created from the index stocks, which thus implies that the strong form of market efficiency holds in the Nigerian Capital Market. Nonetheless, profound analysis on stock volatility risk is essential to avoid substantial loss in the stock market.

scholarly journals Relevance of Intangible Asset, Equity Book, and Earning Value on Stock Price in Information Technology Era

2020 ◽  
Vol 3 (1) ◽  
pp. 135
Author(s):  
Filosofi Putri Aulia ◽  
Poppy Sofia Koeswayo ◽  
Djoemarma Bede
Keyword(s):  
Information Technology ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Intangible Assets ◽  
Stock Exchange ◽  
Financial Statements ◽  
Intangible Asset ◽  
Moderation Effect ◽  
Book Value

This study aims to provide an overview for issuers related to investors' behavior in using the values presented in financial statements in the information technology era, by measuring the moderation effect of intangible assets on the relevance of earnings and book value of equity on stock prices. It tested using a price multiple moderated regression model and LQ45 indexed issuers on the Indonesia Stock Exchange from 2012 to 2018 as a sample. The results of the study show that investors in the Indonesian capital market use the magnitude of profits and intangible assets as a material for consideration in making investment decisions, and no longer use book value of issuer's equity. They do not fully switch to using intangible assets as the creator of the main value of issuers but instead use them as one of the considerations in buying shares of an issuer. However, now investors use the value of intangible assets more dominant than using the value of profits.

scholarly journals Analyses of Daily Market Impact Using Execution and Order Book Information

2020 ◽  
Vol 8 ◽  
Author(s):  
Kenta Yamada ◽  
Takayuki Mizuno
Keyword(s):  
Correlation Analysis ◽  
Stock Exchange ◽  
Statistical Test ◽  
Order Book ◽  
Market Impact ◽  
Limit Order ◽  
Limit Orders ◽  
Tokyo Stock Exchange ◽  
Changes Over Time ◽  
Over Time

We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock. Based on a correlation analysis, we found that the market impact slowly changes over time. From an order book analysis, negative correlations were found between the market impact and the averaged limit order volumes in the order book. We also clarified that one of the factors of market impact is the volume of limit orders in the order book.

scholarly journals PENGUJIAN EFISIENSI PASAR MODAL BENTUK LEMAH DI BURSA EFEK JAKARTA PERIODE JANUARI-JULI 2001

2002 ◽  
Vol 1 (1) ◽  
Author(s):  
Merlina Widjaja ◽  
Endang Ernawati
Keyword(s):  
Market Efficiency ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Significance Level ◽  
Run Test ◽  
The Capital Market

Since 1988, Indonesian capital market, especially Jakarta Stock Exchange has been grown fast. Then, come up questions about capital market efficiency. The capital market is efficient if the securities prices reflecting all available informations and the prices are fair. Thus, investor could not achieve abnormal return. So, with this reasons and facts, the research analyze weak form Indonesia capital market efficiency at Jakarta Stock Exchange in periode January-July 2001. This research used samples 25 emitent. Autocorrelation test, run test, and variance ratio test were used to test the capital market efficiency. The result is that Indonesian capital market is efficient in weak form with 1% significance level. It means that securities movement have random walk pattern. Thus, investors could not achieve abnormal return if just used technical analysis with past securities prices data to predict prices in the future.

The effects of factor supply assumptions on intertemporal timber supply behavior: the cases of investable funds and land

1998 ◽  
Vol 28 (2) ◽  
pp. 239-247 ◽  
Author(s):  
Darius M Adams ◽  
Ralph J Alig ◽  
Bruce A McCarl ◽  
Steven M Winnett ◽  
J M Callaway
Keyword(s):  
Capital Market ◽  
Present Model ◽  
Private Investment ◽  
Forest Sector ◽  
Timber Supply ◽  
Land Supply ◽  
Policy Impacts ◽  
Simulated Market ◽  
Changes Over Time ◽  
Over Time

Intertemporal timber supply models typically assume perfect capital markets and perfectly inelastic supplies of land. Using a dynamic model of U.S. timber and agriculture markets, we examine (i) borrowing limits or capital constraints, in which investment in forest management on nonindustrial private ownerships is restricted, and (ii) a nonzero elasticity of land supply. Results suggest that alternative treatments of supply conditions for these factors influence the flexibility of the simulated market system to adapt to changes over time and across policy scenarios. Supply restrictions limit adjustment options in management activities and force greater change in other endogenous elements such as price and consumption. Implications drawn from any policy analyses also differ with input supply assumptions. Policy impacts were found to be largely transitory in the cases without investment limits and essentially permanent when limits exist. Recognizing a price-sensitive land supply, at least as this process is represented in the present model, partially compensates for the imposition of borrowing restrictions, moving projections closer to behavior observed in the perfect capital market cases. Access to additional land as potential afforestation investments provides additional private investment flexibility. Typically, however, this linkage is neither explicit nor endogenous in forest sector models.

Comparison of two devices for measuring exercise transcutaneous oxygen pressures in patients with claudication

VASA ◽  
2015 ◽  
Vol 44 (5) ◽  
pp. 355-362 ◽  
Author(s):  
Marie Urban ◽  
Alban Fouasson-Chailloux ◽  
Isabelle Signolet ◽  
Christophe Colas Ribas ◽  
Mathieu Feuilloy ◽  
...  
Keyword(s):  
Oxygen Pressure ◽  
Optical Sensors ◽  
Chemical Sensors ◽  
Transcutaneous Oxygen ◽  
Starting Values ◽  
Two Systems ◽  
Transcutaneous Oxygen Pressure ◽  
New Sensors ◽  
Changes Over Time ◽  
Over Time

Abstract. Summary: Background: We aimed at estimating the agreement between the Medicap® (photo-optical) and Radiometer® (electro-chemical) sensors during exercise transcutaneous oxygen pressure (tcpO2) tests. Our hypothesis was that although absolute starting values (tcpO2rest: mean over 2 minutes) might be different, tcpO2-changes over time and the minimal value of the decrease from rest of oxygen pressure (DROPmin) results at exercise shall be concordant between the two systems. Patients and methods: Forty seven patients with arterial claudication (65 + / - 7 years) performed a treadmill test with 5 probes each of the electro-chemical and photo-optical devices simultaneously, one of each system on the chest, on each buttock and on each calf. Results: Seventeen Medicap® probes disconnected during the tests. tcpO2rest and DROPmin values were higher with Medicap® than with Radiometer®, by 13.7 + / - 17.1 mm Hg and 3.4 + / - 11.7 mm Hg, respectively. Despite the differences in absolute starting values, changes over time were similar between the two systems. The concordance between the two systems was approximately 70 % for classification of test results from DROPmin. Conclusions: Photo-optical sensors are promising alternatives to electro-chemical sensors for exercise oximetry, provided that miniaturisation and weight reduction of the new sensors are possible.

Neuropsychological Symptoms in Posttraumatic Stress Disorder and Changes Over Time

2007 ◽  
Author(s):  
Miranda Olff ◽  
Mirjam Nijdam ◽  
Kristin Samuelson ◽  
Julia Golier ◽  
Mariel Meewisse ◽  
...  
Keyword(s):  
Posttraumatic Stress Disorder ◽  
Posttraumatic Stress ◽  
Stress Disorder ◽  
Neuropsychological Symptoms ◽  
Changes Over Time ◽  
Over Time
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