scholarly journals Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market

2022 ◽  
Vol 15 (1) ◽  
pp. 31
Author(s):  
Tetsuya Takaishi
Keyword(s):  
Market Efficiency ◽  
Time Evolution ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Big Bang ◽  
System Reform ◽  
Trading System ◽  
Stock Trading ◽  
Year 2000

This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their early stages and improve gradually. TOPIX and TOPIX-Small showed an anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not show that the Japanese markets are permanently efficient. The multifractal properties of the Japanese markets changed considerably around the year 2000; this may have been caused by the complete migration from the stock trading floor to the Tokyo Stock Exchange’s computer trading system and the financial system reform, also known as the “Japanese Big Bang”.

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 The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Maulana Majied Sumatrani Saragih ◽  
Sarman Sinaga ◽  
Faisal Faisal ◽  
Rico Nur Ilham ◽  
T Nurhaida
Keyword(s):  
Financial Services ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Volume Data ◽  
Stock Trading ◽  
Stock Investment ◽  
Stock Price Index ◽  
The Impact

The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite Stock Price Index (IHSG), weekly and monthly market capitalization values with a sample of 20 stocks - the highest stocks. based on sales volume and transaction value on the Indonesian stock exchange for the period March 2020 to June 2020 obtained from the Financial Services Authority (OJK) weekly report and the Indonesia Stock Exchange (IDX) Monthly Report. The results show that during the COVID-19 pandemic, investors can still get benefits in investing in stocks if every decision made by these investors is supported by careful calculations.

PENGARUH FREKUENSI PERDAGANGAN PADA SEKTOR PROPERTY DAN REAL ESTATE TERHADAP HARGA SAHAM

2019 ◽  
Vol 7 (02) ◽  
pp. 51
Author(s):  
Adri Wihananto
Keyword(s):  
Real Estate ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Trading ◽  
Trading Frequency ◽  
Important Thing ◽  
Know How ◽  
Stock Value ◽  
Measuring Frequency ◽  
Case Based

Trading frequency can be said as the implementation from trader of commerce. This case based on positive or negative trader reaction given by trader information.  Stock trading in BEI always fluctuate with price of volume value and frequency particularly. Frequency itself shows the company  involved or not. In trading frequency, if the indicator frequency it self shown the higher point, it means better. In spite of the most important thing is how the fluctuation or value conversion itself. On the frequencies we also could see which stocks is interested by the investor. When trading frequency high, it  may be create sense of interest from investors.The aim of this research, in order to know how far the effect of trading frequency (X) with stock value (Y) using cover stock value. The information used is begin 2008 with sample from twelve property and real estate companies. According to the research can be conclude from twelve companies in Indonesia Stock Exchange in 2008, 75 % of trading frequency samples doesn’t have signification degree between trading frequency and stock value. This case can be explained count on smaller than t tableEvaluation of this research is the trading measuring frequency at property sector and real estate not influence to stock priceKeywords : Trading Frequency, Stock Price 

scholarly journals Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI)

KINDAI ◽  
2021 ◽  
Vol 16 (3) ◽  
pp. 542-562
Author(s):  
Delila Putri Syarina
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Price ◽  
Quantitative Method ◽  
Price Index ◽  
Stock Exchange ◽  
Sampling Techniques ◽  
Jones Index ◽  
Stock Price Index

Abstract: This study aims to study both partially and simultaneously, large, Analysis, Analysis, Value, Exchange, Inflation, and the Dow Jones Index Against the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (BEI) and the dominant dominant variable on the Price Index Joint Stock (CSPI)).The method used in this study is a quantitative method and with a population of 10 (ten) years, samples were taken with census sampling techniques of 10 (ten) years per year-end period, research instruments using classical data assumptions - data used using regression linear multiple.The results of this study indicate that (1) Rupiah Exchange Rates, Inflation and the Dow Jones Index influence simultaneously on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (2) the Dow Jones Index is partially related to the Composite Stock Price Index (CSPI) in The Indonesian Stock Exchange, while the Rupiah Exchange Rate and Inflation are not partially on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (3) The dominant dominant variable on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange is the Dow Jones Index..Keywords  : Rupiah Exchange Rate, Inflation, Dow Jones Index and Composite Stock Price Index (CSPI)   Abstrak: Penelitian ini bertujuan untuk mengetahui baik secara parsial dan simultan seberapa besar Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) serta variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG). Metode yang digunakan dalam penelitian ini adalah metode kuantitatif dan dengan populasi sebanyak 10 (sepuluh) tahun, diambil sampel dengan teknik sampling sensus sebanyak 10 (sepuluh) tahun per periode akhir tahun, instrument penelitian uji asumsi klasik data – data diuji dengan menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa (1) Nilai Tukar Rupiah, Inflasi dan Indeks Dow Jones berpengaruh secara simultan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (2) Indeks Dow Jones berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia, sedangkan Nilai Tukar Rupiah dan Inflasi tidak berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (3) Variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia adalah Indeks Dow Jones. . Kata kunci :     Nilai Tukar Rupiah, Inflasi, Indeks Dow Jones dan Indeks Harga Saham Gabungan (IHSG).

scholarly journals THE XBRL TECHNOLOGY AND MARKET EFFICIENCY IN BANKING COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE (IDX)

2020 ◽  
Vol 4 (1) ◽  
pp. 26
Author(s):  
Erni Jayani ◽  
Jumiadi Abdi Winata ◽  
Khairunnisa Harahap
Keyword(s):  
Information Asymmetry ◽  
Market Efficiency ◽  
Financial Reporting ◽  
Stock Prices ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Accurate Information ◽  
Stock Trading

The problem in this research is the need for fast and accurate information in the format of the presentation of financial statements resulting in the distribution of information, and data management can be problematic. Therefore, a format for financial reporting systems, namely Extensible Business Reporting Language (XBRL), was formed. The purpose of this study was to determine the effect of XBRL technology, stock prices, Return on Assets (ROA), and institutional ownership on market efficiency (information asymmetry and stock trading volume). The population and sample of this study are banking companies listed on the Indonesia Stock Exchange from 2015-2016. The sampling method using a purposive sampling method and obtained a sample of 42 companies. Data collection techniques are carried out by taking data from the Indonesia Stock Exchange website (www.idx.co.id) and the site http://finance.yahoo.com. Data were analyzed with multiple regression tests after being declared normal with the normality test and though using SPSS 20. The results of this study simultaneously stated that XBRL technology, stock prices, ROA, and institutional ownership together have an influence on information asymmetry and stock trading volume. From the results of the study, it can be concluded that XBRL technology, stock prices, ROA, and institutional ownership cause a decrease in the level of information asymmetry and trading volume. This result also states that the company is in excellent condition when the value of information asymmetry decreases, but it is not good when the trading volume of its shares also decreases. Keywords: XBRL Technology; Stock Prices; Market Efficiency; Information Asymmetry; Stock Trading Volume. 

scholarly journals Prediksi Harga Saham Dalam Berinvestasi Pada Perusahaan Manufaktur

2021 ◽  
Vol 9 (2) ◽  
pp. 101-114
Author(s):  
Fauziyah Fauziyah
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Manufacturing Industry ◽  
Stock Exchange ◽  
Manufacturing Sector ◽  
Prediction Method ◽  
Manufacturing Companies ◽  
Upward Trend ◽  
Stock Trading ◽  
The Past

Abstract Indonesia Stock Exchange (IDX) is a term that is well known in the world of stocks in Indonesia. One of the company sectors listed on the IDX is manufacturing. The contribution of the manufacturing sector to Gross Domestic Product (GDP) was recorded to be the largest compared to other sectors. In this research, the manufacturing companies that will be used as the object of research to predict their stock prices are manufacturing companies listed in LQ45. In stock trading, prices fluctuate up or down. Stock conditions that fluctuate every day make investors who are going to invest in the Manufacturing industry must observe and study the past company data before investing. This data is important for investors to find out what might happen to a company's stock price. Thus, predicting stock prices in the manufacturing industry for the future is needed as a stage in deciding which manufacturing companies are good to investing in. The prediction method in this research uses ARIMA. The results obtained are the stock prices of companies GGRM, HMSP, ICBP, INDF, INTP and UNVR following a downward trend, so that the actions taken by investor in these companies are selling stocks, while for the stock prices of companies ASII, CPIN, INKP, JPFA, SMGR, TKIM, following an upward trend, so that the actions taken by investors in these companies are buying stocks.Keywords: Prediction, ARIMA, Investment  BEI merupakan istilah yang terkenal pada dunia saham di Indonesia. Sektor perusahaan yang terdapat di BEI salah satunya adalah manufaktur. Kontribusi sektor manufaktur dalam Produk Domestik Bruto (PDB) tercatat yang paling besar dibandingkan sektor lainnya. Di dalam penelitian ini, perusahaan manufaktur yang akan dijadikan objek penelitian untuk diramalkan harga sahamnya yaitu perusahaan manufaktur yang terdaftar di LQ45.  Pada perdagangan saham, harga mengalami fluktuasi naik maupun turun.  Keadaan saham yang fluktuasi setiap hari menjadikan investor yang akan berinvestasi di industri Manufaktur harus mengamati dan mempelajari data perusahaan dimasa lalu sebelum melakukan investasi. Data tersebut penting bagi investor untuk mengetahui kemungkinan yang terjadi pada harga saham suatu perusahaan. sehingga, meramal harga saham pada industri manufaktur untuk masa yang akan datang sangat dibutuhkan sebagai tahapan dalam memutuskan perusahaan Manufaktur yang baik dalam melakukan investasi. Metode Prediksi dalam penelitian ini menggunakan ARIMA. Hasil yang didapat yaitu harga saham perusahaan GGRM, HMSP, ICBP, INDF, INTP dan UNVR mengikuti tren turun, sehingga langkah yang diambil untuk investor pada perusahaan tersebut adalah menjualnya sedangkan untuk harga saham perusahaan ASII, CPIN, INKP, JPFA, SMGR, TKIM, mengikuti tren naik, sehingga langkah yang diambil untuk investor pada perusahaan tersebut adalah membeli saham.Kata Kunci: Prediksi, ARIMA, Investasi

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2012 ◽  
pp. 137-156
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Stock Indices ◽  
Stock Price Index ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2010 ◽  
Vol 1 (2) ◽  
pp. 93-112 ◽  
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Price Changes ◽  
Stock Indices ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

Sign in / Sign up

Export Citation Format

Share Document