scholarly journals APAKAH SAHAM FARMASI DI BURSA EFEK INDONESIA MENGIKUTI HIPOTESIS RANDOM WALK SAAT PANDEMI COVID-19?

2021 ◽  
Vol 14 (1) ◽  
pp. 18
Author(s):  
Dwi Tjahjo Purnomo
Keyword(s):  
Random Walk ◽  
Unit Root ◽  
Moving Average ◽  
Unit Root Test ◽  
Autoregressive Moving Average ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller ◽  
Price Movements

<p><em><span lang="EN-US">Berbeda dengan saham lain yang turun cukup tajam saat dimulainya pandemi Covid-19, pergerakan harga saham farmasi justru mengalami peningkatan. Kenaikan harga saham farmasi sejalan dengan ekspektasi investor terhadap peningkatan permintaan obat dan suplemen kesehatan yang berdampak pada kenaikan harga saham di pasar. Penelitian ini secara empiris bertujuan untuk menguji perilaku rantai jual beli di Bursa Efek Indonesia (BEI) yaitu PT Indo Farma Tbk (INAF), PT Kimia Farma Tbk (KAEF), PT Kalbe Farma Tbk (KLBF), PT Phapros Tbk (PEHA), PT Pyridam Farma Tbk (PYFA), dan PT Tempo Scan Pacific Tbk (TSPC). Secara khusus, penelitian ini menyelidiki apakah akan melaporkan apakah saham farmasi selama Pandemi Covid-19 mengikuti Random Walk Hypothesis (RWH) atau sebaliknya apakah pergerakan harga dapat diprediksi. Data yang digunakan dalam penelitian ini adalah harga penutupan saham harian dari tanggal 2 Januari 2020 sampai dengan 2 Februari 2021. Data dianalisis menggunakan uji Augmented Dickey-Fuller untuk adanya Uji Unit Root, uji Variance Ratio, dan Autoregressive Moving Average. (ARMA). Hasilnya, berdasarkan Uji Akar Unit, semua data stasioner di tingkat. Pengujian lebih lanjut menggunakan Variance Ratio, baik secara stand alone intersep maupun trend dan antar semua data juga tidak bergerak secara acak dan tidak mengikuti Hipotesis Random Walk. Terakhir, dengan menggunakan model ARMA, pergerakan log return saham farmasi di BEI dapat diprediksi.</span></em></p><p><em><span lang="EN-US"><em><span>In contrast to other stocks that fell quite sharply at the start of the Covid-19 pandemic, pharmaceutical stock price movements have increased. The increase in the price of pharmaceutical stocks is in line with investors' expectations of an increase in demand for medicines and health supplements, which will have an impact on the increase in stock prices in the market. This study empirically aims to examine the behavior of the chain buying and selling on the Indonesia Stock Exchange (IDX), namely PT Indo Farma Tbk (INAF), PT Kimia Farma Tbk (KAEF), PT Kalbe Farma Tbk (KLBF), PT Phapros Tbk (PEHA), PT Pyridam Farma Tbk (PYFA), and PT Tempo Scan Pacific Tbk (TSPC). Specifically, this study investigates whether to report whether pharmaceutical stocks during the Covid-19 Pandemic followed the Random Walk Hypothesis (RWH) or vice versa whether the price movements were predictable. The data used in this study are daily stock closing prices from January 2, 2020, to February 2, 2021. The data were analyzed using the Augmented Dickey-Fuller test for the existence of the Unit Root Test, Variance Ratio test, and Autoregressive Moving Average (ARMA). The result, based on the Unit Root Test, all data is stationary at the level. Further testing using the Variance Ratio, both by stand-alone intercept and trend and between all data also does not move randomly and does not follow the Random Walk Hypothesis. Finally, using the ARMA model, the log return movement of pharmaceutical stocks in IDX can be predicted.</span></em></span></em></p>

scholarly journals An Empirical Investigation of the Random Walk Hypothesis in the Nigerian Stock Market

2021 ◽  
Vol 4 (1) ◽  
pp. 62-77
Author(s):  
DA Kuhe ◽  
J Akor
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Unit Root ◽  
Stock Prices ◽  
Null Hypothesis ◽  
Serial Correlation ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis

The Random Walk Hypothesis (RWH) states that stock prices move randomly in the stock market without following any regular or particular pattern and as such historical information contained in the past prices of stocks cannot be used to predict current or future stock prices. Hence, stock prices are unpredictable and that investors cannot usurp any available information in the market to manipulate the market and make abnormal profits. This study empirically examines the random walk hypothesis in the Nigerian stock market using the daily quotations of the Nigerian stock exchange from 2nd January, 1998 to 31st December, 2019. The study employs Augmented Dickey-Fuller unit root test, the random walk model, Ljung-Box Q-statistic test for serial dependence, runs test of randomness, and the robust variance ratio test as methods of analyses. The result of the study rejected the null hypotheses of a unit root and random walk in the stock returns. The null hypothesis of no serial correlation in the residuals of stock returns was also rejected indicating the presence of serial correlation/autocorrelation in the residual series. The result of the runs test rejected the null hypothesis of randomness in the Nigerian stock returns. The results of the variance ratio test under homoskedasticity and heteroskedasticity assumptions both strongly rejected the null hypothesis of a random walk for both joint tests and test of individual periods. Based on the results of the four tests applied in this study, it is concluded that the Nigerian daily stock returns under the period of investigation do not follow a random walk and hence the null hypothesis of a random walk is rejected. The results of the study further revealed that the Nigerian stock market is weak-form inefficient indicating that prices in the Nigerian stock market are predictable, dependable, consistently mispriced, inflated, liable to arbitraging and left unprotected to speculations and market manipulations. The study provided some policy recommendations

scholarly journals Random Walk Hypothesis for Stock Prices in Fiji

2021 ◽  
Vol 13 (2) ◽  
pp. 79-88
Author(s):  
Janesh Sami
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Structural Break ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller ◽  
Historical Movement

The main goal of this paper is to investigate the random walk hypothesis in Fiji using monthly data from January 2000 to October 2017. Applying augmented Dickey Fuller (ADF 1979, 1981) and Phillips-Perron (1988), Zivot-Andrews (1992), and Narayan and Popp (2010) unit root tests, this study finds that stock prices is best characterized as non-stationary. The estimated multiple structural break dates in the stock prices corresponds with devaluation of Fijian dollar by 20 percent in 2009 and General Elections in September 2014, which Fiji First Party won by majority votes. The empirical results indicate that stock prices are best characterized as a unit root (random walk) process, indicating that the weak-form efficient market hypothesis holds in Fiji’s stock market. Hence, it will be difficult to predict future returns based on historical movement of stock prices in Fiji’s stock market.

Variance Ratio Test of Random Walk in Indian Stock Market

2015 ◽  
Vol 2 (2) ◽  
pp. 89-107
Author(s):  
Saloni Gupta ◽  
Neha Bothra
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Variance Ratio Test ◽  
Indian Stock Market ◽  
High Degree ◽  
The Relationship

We conduct tests of the null hypothesis of a random walk at the aggregate level of market indices and disaggregate level of individual shares to the Indian stock market over various data periods and a comparison of two sub-periods namely the pre liberalization and the post liberalization period. For this, we use the Lo-MacKinlay (1988) variance ratio test. Although the oldest test i.e. the serial correlation coefficient test is also applied to the same data to establish the relationship between the two tests but its results are not elaborated in this paper. The strength of this paper lies in the voluminous data base and a powerful testing tool that it makes use of. It is observed that the market is highly inefficient at daily returns level, thus imbibing high degree of predictability in stock returns, and even the weekly returns show the existence of trend. Monthly returns, however, support the random walk hypothesis across all periods. Thus it is concluded that further refinement of reform measures is required.

scholarly journals Predictability of Stock Returns on the Dhaka Stock Exchange

The Batuk ◽  
2020 ◽  
Vol 6 (2) ◽  
pp. 87-96
Author(s):  
Yub Raj Dhungana
Keyword(s):  
Random Walk ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Daily Basis ◽  
Ratio Test ◽  
Efficient Market ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller

The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.

scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

scholarly journals Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach

2019 ◽  
Vol 9 (1) ◽  
pp. 400
Author(s):  
Ahmed Raihan Sadat ◽  
Md. Emran Hasan
Keyword(s):  
Random Walk ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form ◽  
Data Series ◽  
Ratio Test ◽  
Random Walk Hypothesis ◽  
Hypothesis Model ◽  
Augmented Dickey Fuller ◽  
Tests For Normality

Stock market is one great indicator of any country’s economic condition. Hence, measuring the capital market in different forms has always been a great interest to finance researchers. This paper measures the market efficiency and randomness of Dhaka stock Exchange (DSE) in weak form employing daily observations (return) from two comparatively new ventured indices viz. DS30 and DSEX. Initially, the study tests for normality using Jarque-Bera test of normality and found data series are not normally distributed. Later, some widely used parametric tests were conducted to examine the historic price dependencies or to examine the random walk hypothesis (RWH) of DSE indices. Augmented Dickey-Fuller test (ADF), Autocorrelation function (ACF), and variance ratio test (Lo & MacKinlay) were used and all of the results suggested DSE to be not efficient in weak form. Meaning, prices of DSE do not follow a random walk.

Monthly Patterns in Egyptian Stock Market

GIS Business ◽  
2017 ◽  
Vol 12 (3) ◽  
pp. 17-24
Author(s):  
Ahmed Ahmed ◽  
Sohair Ahmed
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Banking Sector ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Random Walk Hypothesis

In this paper, monthly effect in Egyptian stock market is investigated for the period January 2007 to July 2015. After examining the random walk hypothesis of the return series, a Seasonal Autoregressive Moving Average (SARMA) model is specified to test the monthly effect in Egyptian Stock market. The results of the study imply that the banking sector of stock market is informationally efficient and does not confirm to the existence of seasonality in stock returns.

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