scholarly journals Investor Attention and Broad Market Index: Evidence from Indonesia Composite Index

2021 ◽  
Author(s):  
Olivia Tanaya ◽  
Suyanto Suyanto
Keyword(s):  
Composite Index ◽  
Investor Attention ◽  
Market Index

scholarly journals TINGKAT INTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL GLOBAL

2018 ◽  
Vol 4 (2) ◽  
Author(s):  
Dedy Saputra
Keyword(s):  
Correlation Coefficient ◽  
Capital Markets ◽  
Capital Market ◽  
Composite Index ◽  
Stock Index ◽  
Analysis Tool ◽  
Global Capital ◽  
Market Index ◽  
Dow Jones Industrial Average ◽  
German Stock

This study aims to determine the level of capital market interation Indonesia (Jakarta Composite Index) with American capital markets (Dow Jones Industrial Average), England (FTSE 100 Index), German (Deutsche Borse AG German Stock Index), Hongkong (Hang Seng) and Japan (Nikkei 225). The result of this study expected to become an information for investment actors in deciding to invest at the stockmarket. These variables include the Indonesian capital market as the dependent variable and the global capital markets as an independent variable. Analysis tool is the correlation coefficient and t test. It is used to determine the significance of the correlation coefficient between independent variables and the dependent variable. Based on the calculation of the correlation coefficient is exemplified that the market index Indonesian capital market and the five major global capital markets has been integrated on various classification levels of relationships or different integration. The level of integration between Indonesian capital market and capital markets of America and Japan are very strong level of integration, the German stock market has stronglevel integration, and England and Hong Kong capital market has low level integration.

scholarly journals Cross Border Portfolio Investment and The Volatility of Stock Market Index and Rupiah's Rate

2015 ◽  
Vol 17 (4) ◽  
pp. 403-432 ◽  
Author(s):  
Al Muntasir
Keyword(s):  
Foreign Capital ◽  
Composite Index ◽  
Capital Flow ◽  
Capital Inflows ◽  
Stock Market Index ◽  
Dynamic Relationship ◽  
Market Index ◽  
Daily Data ◽  
Foreign Capital Inflows ◽  
The Impact

This paper use daily data during the period 2010-2014 to analyse the impact of foreign capital inflows on capital market volatility and on the volatility of Rupiah’s rate. The results shows the flow of foreign capital positively affect the Jakarta Composite Index (JCI) but not the rate of Rupiah. Using Vector Error Correction Model, this paper finds a cointegrated and dynamic relationship between the changes in foreign capital flow in Indonesia, with the JCI and the exchange rate of Rupiah against USD. Changes in the Rupiah’s rate significantly affect the foreign capital flow and the JCI, while the JCI does not significantly affect the flow of foreign capital and the changes of Rupiah’s rate.

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 The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

2017 ◽  
Vol 19 (1) ◽  
pp. 59 ◽  
Author(s):  
Abdul Hadi Zulkafli ◽  
Zamri Ahmad ◽  
Eky Ermal M
Keyword(s):  
Composite Index ◽  
Performance Measure ◽  
Socially Responsible ◽  
Market Index ◽  
Socially Responsible Investments ◽  
Alpha Index

This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted Sharpe’s Index (ASI), Treynor’s Index, Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and Sortino’s Ratio to examine the performance of the SKI and the JCI. Except for Sharpe’s Index and the Adjusted Sharpe’s Index, the risk-adjusted return performance of the SKI, (Treynor, Jensen’s Alpha, Adjusted Jensen’s Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen’s Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index and Jensen’s Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns.

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 RLSTM: A New Framework of Stock Prediction by Using Random Noise for Overfitting Prevention

2021 ◽  
Vol 2021 ◽  
pp. 1-14
Author(s):  
Hongying Zheng ◽  
Zhiqiang Zhou ◽  
Jianyong Chen
Keyword(s):  
Deep Learning ◽  
Financial Risk ◽  
Short Term Memory ◽  
Random Noise ◽  
Composite Index ◽  
Stock Prediction ◽  
Stock Market Index ◽  
Market Index ◽  
Prediction Module ◽  
Training Need

An accurate prediction of stock market index is important for investors to reduce financial risk. Although quite a number of deep learning methods have been developed for the stock prediction, some fundamental problems, such as weak generalization ability and overfitting in training, need to be solved. In this paper, a new deep learning model named Random Long Short-Term Memory (RLSTM) is proposed to get a better predicting result. RLSTM includes prediction module, prevention module, and three full connection layers. Input of the prediction module is a stock or an index which needs to be predicted. That of the prevention module is a random number series. With the index of Shanghai Securities Composite Index (SSEC) and Standard & Poor’s 500 (S&P500), simulations show that the proposed RLSTM can mitigate the overfitting and outperform others in accuracy of prediction.

scholarly journals Reaksi Pasar Modal di Asia Tenggara Terhadap Pandemi Covid-19

2021 ◽  
Vol 23 (1) ◽  
pp. 162-172
Author(s):  
Sari Octavera ◽  
Febri Rahadi
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Composite Index ◽  
Least Square ◽  
Stock Market Index ◽  
Market Reactions ◽  
Ordinary Least Square ◽  
Market Index ◽  
Panel Data Regression ◽  
Result Show

Covid 19 is global case in almost around the world. Early April 2020, Covid 19 cases reached 1 million in a number of countries and increased significantly. This pandemic caused a major impact on economic activity, and more than 100 countries carried out a full or partial lockdown which resulted in economic disruption in many sectors including the stock market. This study investigation impact that occurs on the stock market, especially in Southeast Asia (Malaysia, Indonesia, Thailand and Singapore). Change in the composite index from the capital market are used as a proxy to measure market reactions using the OLS panel data regression model. The natural log of GDP is used as a control variabel for differences between the four capital markets. In addition, to control for the effect of different transaction days, a dummy variable is included in the regression model. The result show that changes in the number of covid 19 infections have been shown to significantly affect index changes. The market response in this regard has moved in a negative direction. Meanwhile, the measurement of the effect to the death  to covid 19 is not proven to significantly affect change in the composite stock market index. ABSTRAK Covid 19 menjadi kasus global dengan penyebaran yang sangat cepat hampir diseluruh belahan dunia. Awal April 2020 kasus Covid 19 menyentuh angka 1 juta penderita yang tersebar di sejumlah negara dan terus meningkat secara signifikan. Pandemi ini berpengaruh besar terhadap aktifitas perekonomian hampir di seluruh dunia. Puncaknya, akhir Maret 2020 lebih dari 100 negara melakukan Lockdown baik secara penuh maupun sebagian yang memberikan dampak terbatasnya aktifitas ekonomi di berbagai sektor seperti transportasi, pariwisata, perbankan, asuransi termasuk pasar modal. Penelitian ini berupaya melihat dampak yang terjadi di pasar modal khususnya di empat negara di Asia Tenggara (Malaysia, Indonesia, Thailand dan Singapura). Perubahan Indeks gabungan dari pasar modal dipergunakan sebagai proksi untuk mengukur reaksi pasar dengan menggunakan pendekatan model regresi data panel Ordinary Least Square (OLS). Untuk mengendalikan dampak yang mungkin muncul dari perbedaan yang mendasar dari keempat pasar modal tersebut, dipergunakan log natural PDB sebagai variabel kontrol. Selain itu, untuk mengontrol efek perbedaaan hari transaksi dimasukkan pula variabel dummy didalam model regresi. Hasil menunjukkan perubahan angka terinfeksi COVID-19 terbukti secara signifikan mempengaruhi perubahan indeks. Respon pasar terkait hal tersebut bergerak kearah negatif. Sementara pengukuran terhadap pengaruh angka maninggal dunia akibat COVID-19 tidak terbukti secara signifikan mempengaruhi perubahan indeks pasar saham gabungan

scholarly journals The impact of investor sentiment for the U.S. stock market based on Fama-French 3-factor model

2021 ◽  
Vol 275 ◽  
pp. 01055
Author(s):  
Sifan Yu
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Factor Model ◽  
Dynamic Change ◽  
Composite Index ◽  
Investor Sentiment ◽  
Market Index ◽  
The Usa ◽  
The Impact ◽  
The U.S

Particularly, it is difficult to accurately measure investor sentiment due to the inherent complexity and dynamic change. This paper tests the impact of investors’ behavior in the U.S. equity market. By using monthly data from February 2014 to December 2018, the impacts of investor sentiment are examined. Besides, Fama-French risk factors are investigated in a new multiple factor asset pricing model. Specifically, the investor sentiment is measured by six-variable composite index. Empirical results indicate that the investor sentiment is a composition of systemic risk. In this case, the Fama-French three factor model with investor sentiment factor can fully explains the return of stocks in the USA stock market. By comparing the trend of investor sentiment and market index, investor sentiment will affect asset pricing and market volatility, i.e., verifies the effectiveness of investor sentiment index in the U.S, stock market.

Functional measures in spinocerebellar ataxia (SCA) – evaluation of a SCA Functional Composite Index

2007 ◽  
Vol 34 (S 2) ◽  
Author(s):  
T Schmitz-Hübsch ◽  
D Timmann-Braun ◽  
S Szymanski ◽  
S Döhlinger ◽  
JS Kang ◽  
...  
Keyword(s):  
Spinocerebellar Ataxia ◽  
Composite Index ◽  
Functional Composite ◽  
Functional Measures

Analisis Kinerja Keuangan Perusahaan dengan Menggunakan Pendekatan Economic Value Added (EVA) dan Market Value Added (MVA) (Studi Kasus pada PT Astra International, Tbk. Periode Tahun 20082012)

2017 ◽  
Vol 1 (1) ◽  
Author(s):  
Abdul Hamid
Keyword(s):  
Financial Performance ◽  
Financial Services ◽  
Stock Price ◽  
Economic Value ◽  
Composite Index ◽  
Value Added ◽  
Secondary Data ◽  
Study Approach ◽  
Market Value Added ◽  
The Interest Rate

This study is a qualitative study using a case study approach to the PT. Astra International, Tbk. The object of this research is PT. Astra International, Tbk. PT. Astra International, Tbk is a company engaged in six business sectors, namely: automotive,financial services, heavy equipment, mining and energy, agribusiness, information technology, infrastructure and logistics. Researchers chose PT. Astra International, Tbk as research objects due in the year 2012, PT. Astra International, Tbk managed to rank first in the list of 100 Best Companies to Go Public by the 2011 financial performance of Fortune magazines Indonesia. The data used in this research is secondary data, the financial statements. Astra International, Tbk 20082012. Other secondary data used is the interest rate of Bank Indonesia Certificates (SBI), the Jakarta Composite Index (JCI), and thecompanys stock price began the year 20082012. This study aims to determine the companys financial performance by the use of EVA and MVA approach, therefore the data analysis technique used is the EVA and MVA. Based on the value EVA of the year 2008 2012, PT. Astra International, Tbk has good financial performance that managed to meet the expectations of the company and the investors. Based on the value of MVA during the years 20082012, PT. Astra International, Tbk managed to create wealth and prosperity for companies and investors. It concluded that financial performance. AstraInternational, Tbk for five years was satisfactory.

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