scholarly journals Gap Analysis Sectoral Shares Index during the Covid-19 Pandemic on the Indonesia Stock Exchange

2020 ◽  
Vol 22 (3) ◽  
pp. 187
Author(s):  
Sunarso Sunarso ◽  
Eswanto Sugeng Rahayu ◽  
Taufik Taufik ◽  
Irwan Kurniawan
Keyword(s):  
Stock Price ◽  
Gap Analysis ◽  
Stock Exchange ◽  
Risk Mitigation ◽  
Composite Index ◽  
Investment Risk ◽  
Portfolio Investment ◽  
Short Term ◽  
Volume Inequality ◽  
Short Term Investment

The investment risk during the Covid-19 pandemic is difficult to calculate due to increasing uncertainty. The research presents a model that can be used in mitigating short-term investment risk during the Covid-19 Pandemic on the capital market with sectoral gap return base on the difference price between the highest position and the lowest position. The gap may indicate volatility, volume inequality, price abnormalities, directional anomaly, and transaction conspiracy. This paper focused on how to manage portfolio investment risk based on short-term risk mitigation base on gap Analysis of sectoral return compare to Composite Index. The aim to be achieved was to minimize the risk of short-term portfolio investment at the start of the short-term Pandemic in Januari 2020 to August 2020. The specific target to be achieved in this study is to present a model that can increase the yield of short-term investments in the Indonesia Stock Exchange with low level of risk. The object of this research was sectoral idex of stock price whose price movements are in the opposite direction to the composite stock price index. The result of this research shown that the highest gap was basic Industry sector 54,50%. Meanwhile, the lowest gap was consumer sector 22,35%. The highest the gap the bigger the risk.Keywords: Mitigation Model, Investment Risk, Stock Portfolio, Covid-19

scholarly journals A Study of Multi-Scale Relationship Between Investor Sentiment and Stock Index Fluctuation Based on the Analysis of BEMD Spillover Index

2021 ◽  
Vol 9 (4) ◽  
pp. 399-420
Author(s):  
Weiguo Chen ◽  
Shufen Zhou ◽  
Yin Zhang ◽  
Yi Sun
Keyword(s):  
Stock Price ◽  
Composite Index ◽  
Investor Sentiment ◽  
Stock Index ◽  
Financial Industry ◽  
Medium Term ◽  
Short Term ◽  
Frequency Components ◽  
Original Scale

Abstract According to behavioral finance theory, investor sentiment generally exists in investors’ trading activities and influences financial market. In order to investigate the interaction between investor sentiment and stock market as well as financial industry, this study decomposed investor sentiment, stock price index and SWS index of financial industry into IMF components at different scales by using BEMD algorithm. Moreover, the fluctuation characteristics of time series at different time scales were extracted, and the IMF components were reconstructed into short-term high-frequency components, medium-term important event low-frequency components and long-term trend components. The short-term interaction between investor sentiment and Shanghai Composite Index, Shenzhen Component Index and financial industries represented by SWS index was investigated based on the spillover index. The time difference correlation coefficient was employed to determine the medium-term and long-term correlation among variables. Results demonstrate that investor sentiment has a strong correlation with Shanghai Composite Index, Shenzhen Component Index and different financial industries represented by SWS index at the original scale, and the change of investor sentiment is mainly influenced by external market information. The interaction between most markets at the short-term scale is weaker than that at the original scale. Investor sentiment is more significantly correlated with SWS Bond, SWS Diversified Finance and Shanghai Composite Index at the long-term scale than that at the medium-term scale.

scholarly journals ANALISIS HARGA SAHAM INDEX KOMPAS 100 DENGAN PENDEKATAN ERROR CORRECTION MODEL

2021 ◽  
Vol 4 (1) ◽  
pp. 406-414
Author(s):  
Amir Hamzah
Keyword(s):  
Error Correction ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Financial Statements ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Positive Effect

The purpose of this research is to analyze the short term and long term relationship between ROI, EPS, PER ,inflation, SBI, exchange rate,and GDP on Stock Price. The data in this research is company financial statements which included Compas 100 Index on the Indonesia Stock Exchange. statistical analysis in this research used stasionarity test, The Classical Assumptions Test, Cointegration Test, Error Correction Model Test. This research found that partially ROI, EPS, PER variables a positive effect on stock prices in the short term and long term, KURS and SBI a positive effect on stock prices in the short term, but there is no effect in the long term, inflation and GDP do not affect the stock price both in the short term and long term. Simultaneously affected the stock prices significantly affect on stock price both in the short term and long term.

scholarly journals The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization

2005 ◽  
Vol 08 (02) ◽  
pp. 201-216 ◽  
Author(s):  
Robin K. Chou ◽  
Wan-Chen Lee ◽  
Sheng-Syan Chen
Keyword(s):  
New York ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Short Term ◽  
Tick Size ◽  
York Stock Exchange ◽  
Before And After ◽  
Abnormal Trading Volume

This paper examines the stock price behavior around the ex-split dates both before and after the decimalization on the New York Stock Exchange (NYSE). We find that the abnormal ex-split day returns decrease and the abnormal trading volume increases in the 1/16th and decimal pricing eras, relative to the 1/8th pricing era. These findings are consistent with the microstructure-based explanations for the ex-day price movements. Our study also supports the hypothesis that short-term traders perform arbitrage activities during the ex-split dates when transaction costs become lower after the tick size is reduced.

scholarly journals Impact of Macroeconomic Factors on Underpricing: Case of Indonesia Stock Exchange

InFestasi ◽  
2021 ◽  
Vol 17 (2) ◽  
pp. Inpres
Author(s):  
Aulia Amin Nasution ◽  
Ali Mutasowifin
Keyword(s):  
Stock Market ◽  
Initial Public Offering ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Market ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Public Offering

The stock market is one of the alternatives chosen by companies to meet their funding needs. The first offering of a company's shares through the stock market to investors is called an Initial Public Offering. At the time of initial public offering, underpricing often occurs when the initial stock price on the primary market is lower than the stock price on the secondary market which will disadvantage the company because the collected funds are not maximum. This research aims to analyze the effect of macroeconomic factors on underpricing in companies conducting IPOs listed on the Indonesia Stock Exchange from 2010 to 2020. Using Regression Linear Analyze we found that macroeconomic variables as Inflation, IDX Composite Index, and GDP significantly affect underpricing on IPO in Indonesia Stock Exchange for 2010 to 2020

scholarly journals Finding Size Factor and Value Factor in Indonesia Stock Exchange

2018 ◽  
Vol 14 (7) ◽  
pp. 63
Author(s):  
Yudhistirangga Yudhistirangga ◽  
Hermanto Siregar ◽  
Trias Andati
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Size Factor ◽  
Market Pricing ◽  
Book Value ◽  
Market Capitalization ◽  
Small Market ◽  
Gathering Data

This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.

PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH

2019 ◽  
Vol 14 (2) ◽  
pp. 95
Author(s):  
Rahmadiva Dianitha Danial ◽  
Brady Rikumahu
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Granger Causality ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Granger Causality Test ◽  
Causality Test ◽  
Stock Market Returns

Penelitian ini bertujuan untuk menguji pengaruh  volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data  dianalisis dengan model  GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs  dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan kondisi harga indeks saham di pasar modal di periode hari berikutnya, begitupun sebaliknya. Prediksi tepat yang dilakukan oleh investor akan mengurangi risiko dan meningkatkan imbal hasil dalam berinvestasi jika pasar uang maupun pasar modal yang sedang bergejolak.  Kata Kunci: GARCH, Volatilitas, IHSG, Nilai Tukar ABSTRACT This study aims to examine the effect of the volatility of the return on the IDR-USD exchange rate toward  the volatility of stock market returns in the Indonesia Stock Exchange. From the data collection from 3 January 2012 until 29 September 2017 we obtained 1404 time series. Analyzing data, this study used  GARCH modeling and Granger Causality Test. The selected GARCH (1,1) modeling result shows that the volatility of exchange rate influences the volatility of Indonesian Composite Index.  Granger Causality test shows that the volatility of exchange rate and volatility of Indonesian Composite Index have two-way granger cause. This study indicates that exchange rate information can predict the condition of stock price index in capital market and movement of Indonesian Composite Index (ICI) can predict exchange rate movement in foreign exchange market. Appropriate predictions by investors will reduce the risk and increase the yield in investing if the money market and capital markets are fluctuating high. Keywords: GARCH, Volatility, ICI, Exchange Rate

STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS

2009 ◽  
Vol 20 (10) ◽  
pp. 1547-1562 ◽  
Author(s):  
TIANSONG WANG ◽  
JUN WANG ◽  
BINGLI FAN
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Statistical Physics ◽  
Stock Exchange ◽  
Contact Process ◽  
Composite Index ◽  
Statistical Properties ◽  
Kolmogorov Smirnov ◽  
Physics Model ◽  
Power Law Distributions

A new stochastic stock price model of stock markets based on the contact process of the statistical physics systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) are studied. In the present paper, the data of SSE Composite Index and the data of SZSE Component Index are analyzed, and the corresponding simulation is made by the computer computation. Further, we investigate the statistical properties, fat-tail phenomena, the power-law distributions, and the long memory of returns for these indices. The techniques of skewness–kurtosis test, Kolmogorov–Smirnov test, and R/S analysis are applied to study the fluctuation characters of the stock price returns.

scholarly journals Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

2015 ◽  
Vol 6 (2) ◽  
pp. 330 ◽  
Author(s):  
Mulyono Mulyono
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Stock Trading ◽  
Close Relationship ◽  
Coefficient Corrélation ◽  
Stock Price Index

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

scholarly journals ARIMA Model Selection for Composite Stock Price Index in Indonesia Stock Exchange

2019 ◽  
Vol 2 (1) ◽  
pp. p31
Author(s):  
Zul Amry ◽  
Budi Halomoan Siregar
Keyword(s):  
Stock Price ◽  
Price Index ◽  
Mean Squared Error ◽  
Stock Exchange ◽  
Arima Model ◽  
Composite Index ◽  
Information Criterion ◽  
Absolute Error ◽  
Percentage Error ◽  
Stock Price Index

Composite Stock Price Index (CSPI) can be used as a reflection of the national economic condition of a country because it is an indicator to know the development the capital market in a country. Therefore, the movement in the future needs to be forecast. This study aims to build a model for the time series forecasting of Indonesia Composite Index (ICI) using the ARIMA model. The data used is the monthly data of ICI in Indonesia Stock Exchange (IDX) from January 2000 until December 2017 as many as 216 data. The method used in this research is the Box-Jenkins method. The autocorrelation (ACF) and partial autocorrelation function (PACF) are used for stationary test and model identification. The maximum estimated likelihood is used to estimate the parameter model. In addition, to select a model then used Akaike’s Information Criterion (AIC). Ljung-Box Q statistics are used for diagnostic tests. In addition, to show the accuracy of the model, we use Root Mean Squared Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) and the most appropriate model is ARIMA (0, 1, 1).

scholarly journals ANALISIS PENGARUH TINGKAT INFLASI, TINGKAT SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) PERIODE 2013-2015

2020 ◽  
Vol 6 (2) ◽  
pp. 121
Author(s):  
Daniar Primavistanti ◽  
Aftoni Sutanto
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Inflation Rates ◽  
Stock Price Index

This research aimed to analyze and test the effect of inflation rates, interest rate and exchange rate  on the stok price index  at the stock exchange in 2013–2015. Independent variable used are inflation, interest rates, and exchange rates. While the dependent variable is the stock price index. The object of this research  is in the market listed  on the stock price index. The  inflation  rates, interest rates,  and  the  exchange  rate that  are  taken  from Indonesian Bank. The  analytical  method used is the classic assumption test and regression test. Based  on  the  survey  result revealed  that in partial  inflation and the exchange  rate does not  significantaly  influence the Stock  Exchange  Composite Index. While the variable interest rate significantly influence the Stock Exchange Composite Index. The test results simultaneosly show variable inflation, interest rates and exchange rates have an influence on the Stock Exchange  Composite Index. The coefficient of determination was 28,3%.

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