scholarly journals PROFITABILITAS STRATEGI KONTRATRIAN DI BURSA EFEK INDONESIA

2021 ◽  
Vol 10 (2) ◽  
pp. 146-159
Author(s):  
Burhanudin Burhanudin ◽  
I Gede Mandra ◽  
Laila Wardani
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Research Topic ◽  
Efficient Market ◽  
Contrarian Strategy ◽  
Contrarian Strategies ◽  
Price Reversal

The efficient market hypothesis implies that no investor can get an abnormal return. This hypothesis has become a research topic that many researchers refer to. However, this hypothesis is strongly refuted after the discovery of several anomalies that are inconsistent with the efficient market hypothesis. One of them was found by De Bondt and Thaler (1985), that stock prices have a certain tendency, namely that stocks that perform well in one period will become stocks that perform poorly in the next period. Vice versa. This phenomenon is called overreaction or overreaction. These findings motivated further researchers to apply contrarian strategies to gain an advantage when there was an overreaction. This research is a study that is intended to obtain evidence of the ability of contrarian strategies in obtaining abnormal returns. This study aims to analyze the occurrence of overreaction on stocks on the Indonesia Stock Exchange and to analyze the advantages of implementing a contrarian strategy for investors. This research was conducted at companies listed on the Indonesia Stock Exchange. The companies selected were 100 companies with the most active transactions during 2019. From the results of data analysis, it can be concluded that there was a price reversal for the shares listed on the Indonesia Stock Exchange. This result is quite strong because it has been tested for up to 4 weeks. Despite the price reversal, the contrarian strategy was not able to generate significant returns for investors.Keywords :contrarian strategy, abnormal return, overreaction  

Momentum Effect: Empirical Evidence from Karachi Stock Exchange

2012 ◽  
Vol 51 (4II) ◽  
pp. 449-462 ◽  
Author(s):  
Habib-ur-rahman Habib-ur-rahman ◽  
Hasan M. Mohsin
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
General Tendency ◽  
Short Term ◽  
Holding Period ◽  
The Past ◽  
Contrarian Strategies

Capital market efficiency and the prediction of future stock prices are the most thought-provoking and ferociously debated areas in finance. The followers of traditional financial theory strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, economist and the journalists are of the view that general tendency of individuals is to overreact to the information. De Bondt and Thaler (1985) studies this view of experimental psychology that whether such behaviour matters at the market level or not. They found out that stock prices will overreact to information, and suggested that contrarian strategies buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one month. They suggested that the contrarian strategies having holding period of one week to one month earned the significant abnormal return. Lo and Mac Kinalay (1990) objected on the ground that a major portion of this abnormal return, reported by Jegadeesh (1990) and Lehmann (1990), is due to the delayed reaction of stock prices to common factors rather than to overreaction. Some other researchers pointed out some other reasons of this abnormal stock returns i.e. short-term pressure on stock prices and absence of liquidity in the market rather than overreaction.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Indonesia 2019

2019 ◽  
Vol 29 (3) ◽  
pp. 1026
Author(s):  
I Gede Aditya Baskara ◽  
Made Gede Wirakusuma
Keyword(s):  
Event Study ◽  
Presidential Election ◽  
Stock Prices ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the 2019 Indonesian presidential election, against companies listed in the infrastructure stock sector on April 17, 2019, using the abnormal return indicator. This study uses secondary data in the form of daily stock prices per company during the period with the population of the infrastructure sector listed on the Indonesia Stock Exchange. The statistical tests used to test hypotheses are descriptive statistical tests, normality tests and one sample t-test. The results of the one sample t-test on abnormal return is that there is no significant difference, which means the market does not respond to the event. These results indicate that the efficient market is not answered in the 2019 Indonesian presidential election due to the absence of abnormal returns in it. Keywords : Event Study, Market Reaction, Abnormal Return, 2019 Indonesian Presidential Election.

scholarly journals ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (5) ◽  
pp. 2642
Author(s):  
Komang Intan Permatasari ◽  
I Ketut Mustanda
Keyword(s):  
Data Collection ◽  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Stock Index ◽  
January Effect ◽  
Average Abnormal Return ◽  
Day Of The Week

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia. Keywords: calendar effect anomaly, abnormal return

Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices

2004 ◽  
Vol 07 (04) ◽  
pp. 471-491 ◽  
Author(s):  
Pei-Gi Shu ◽  
Yin-Hua Yeh ◽  
Yu-Chen Huang
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Efficient Market Hypothesis ◽  
Individual Investors ◽  
Long Run ◽  
Price Reversal ◽  
Run Up

This study analyzes price-volume relation for Taiwanese listed firms that are added to or deleted from the MSCI free indices in the sampling period from May 17, 1999 to May 21, 2001. Additions to the indices found a positive abnormal return of 3.9% in the run-up window from the announcement day up to one day before the change was implemented. This was followed by a significant reversal on the change day. The deleted firms exhibit an even stronger announcement effect, with a significant abnormal return of -9.1% in the run-up, followed by a reversal of 1.6% on the change day. Even when reversals occurred on the change day, the abnormal returns in the post-announcement window are positive for additions and negative for deletions. The results support the price-pressure and long-run downward-sloping-demand hypothesis and are inconsistent with the efficient market hypothesis. The abnormal trading volume for deletions is negative following the announcement, contradicting the findings of Lynch and Mendenhall (1997). This difference is due to the innate of the Taiwanese stock market, in which no dedicated market makers accommodate block trading. Moreover, the regression results confirm a positive volume-return relation before and a negative relation on and after the change day. Finally, the QFII net buy (sell) the added (deleted) stocks up to ten days after the change was implemented, while the Securities Investment Trusts and Securities dealers, having a shorter frame net, buy the added stocks up to two days after the effective change. Individual investors reversing position on the change day are responsible for the price reversal on the change day.

scholarly journals Apakah Pembatasan Sosial Berskala Besar Warga Negara Asing Berdampak Pada Average Abnormal Return?

2021 ◽  
Vol 1 (2) ◽  
pp. 160-171
Author(s):  
Asnat Susanti Dangga Lolu ◽  
Lusianus Heronimus Sinyo Kelen
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Large Scale ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Economic Sector ◽  
Stock Trading ◽  
Average Abnormal Return ◽  
Before And After ◽  
Research Period

This study examines the differences in stock prices listed on the Indonesia Stock Exchange as measured using average abnormal returns on events (event studies) before and after the enactment of Large-Scale Social Restrictions for Foreign Citizens, especially COVID-19 which has an impact not only threatening human health but also has an impact on the economic sector. This condition will certainly have an impact on all sectors including stock trading on the Indonesia Stock Exchange, especially the Tourism, Hospitality, and Restaurant sub-sector. By using a sample of 41 companies on the Indonesia Stock Exchange with a research period of 3 months (16 November 2020 to 15 February 2021) the type of purposive sampling research that meets the criteria and using paired sample t-test, the results show that there is no difference Average Abnormal Return before and after the occurrence of a PSBB event for Foreign Citizens. So it can be concluded that the PSBB for Foreign Citizens has no impact on the average abnormal return obtained by investors.

scholarly journals THE IMPACT OF BANK RESTRUCTURING ANNOUNCEMENT ON THE BANKING STOCK PRICES: The Cases of Indonesia’s Banking Reforms on March 13, 1999, and The Issuance of Government Bonds on May 28, 1999

2018 ◽  
Vol 1 (2) ◽  
pp. 37
Author(s):  
Muhammad Fendi Susiyanto
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Good News ◽  
Government Bonds ◽  
Private Banks ◽  
Event Date ◽  
Banking Reforms ◽  
The Impact

This study is an event study that aims to investigate how successful the banking reforms measures that has already been done by the Indonesian government in order to strengthen its banking system. There were two events to be investigated in this study, first (1) The banking reforms announcement on March 13, 1999 which consists of the closure of 38 private banks, the taken-over of 7 private banks, 9 private banks will be recapitalized, and let 73 private banks to continue their operation without joining the recapitalization program; second (2) on May 28, 1999 Minister of Finance issued government bonds amounted to Rp 103,831 trillion to complete the private banks’ recapitalization, and also issued the other government bonds to repay the obligations of frozen commercial banks’ and rural banks’ regarding its liquidity support, to Bank Indonesia amounted to Rp 53,779 trillion.These two events above, are expected to be good news or favorable information for investors on the Jakarta Stock Exchange (JSX), and should be responded positively by investors which indicates significantly increases on banking stocks after the event dates.Thirteen samples of banking stocks which were listed on the Jakarta Stock Exchange (JSX) at the beginning of 1997 were used to investigate the reaction of banking stocks around the dates of these two events. By using the paired-samples mean difference test, we did not find significant differences between abnormal returns before and after the event dates. Furthermore, the cumulative abnormal return of banking stocks around the banking reforms announcement on March 13, 1999 and the issuance of government bonds announcement on May 28, 1999 were decreasing gradually until it reached the negative area. Trading Volume Activity (TVA) test, on the banking stock volume around the banking reforms announcement on March 13, 1999 has found that TVA of banking stocks after the event date was significantly greater than TVA of banking stocks before the event date. The result was not found on the issuance of government bonds event.In general, from these results, it can be concluded that the banking reforms measures done by the government was not successfully implemented from the market’s point of view.The abnormal return tests have been conducted, yet it is still found a significant abnormal return around both the banking reforms announcement on March 13, 1999 and the issuance of government bonds announcement on May 28, 1999. These findings did not support the semi-strong efficiency of the Jakarta Stock Exchange (JSX).

scholarly journals STOCK PRICE BEHAVIOR AROUND CUM-DIVIDEND DATE OF INDONESIA BLUE CHIPS STOCKS

2019 ◽  
Vol 2 (1) ◽  
pp. 49-60
Author(s):  
Eka Lavista
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Index Model ◽  
Single Index Model ◽  
Study Methodology ◽  
Return Difference ◽  
Event Study Methodology

This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.

scholarly journals Stock Prices’ Variability around Earnings Announcement Dates at Karachi Stock Exchange

2012 ◽  
Vol 2012 ◽  
pp. 1-6
Author(s):  
Muhammad Azeem Qureshi ◽  
Ali Abdullah ◽  
Muhammad Imdadullah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Earnings Announcement ◽  
Abnormal Stock Returns ◽  
The Impact

The purpose of this study is to investigate how earnings announcement event affects stock returns at Karachi Stock Exchange (KSE). For this purpose we use the KSE-100 Index as our sample. We use the CAR Analysis to analyze the impact of earnings announcement over the stock returns around announcement dates. Our results suggest that KSE experiences abnormal stock returns around earnings announcement dates for the overall market and for different categories which indicate that efficient market hypothesis does not hold in Pakistani market and point out the presence of informational dissemination inefficiencies in the market.

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