scholarly journals FENOMENA MONDAY EFFECT PADA OVERNIGHT RETURN DAN INTRADAY RETURN SAHAM YANG TERGABUNG DALAM INDEKS LQ45 PERIODE 2018

2020 ◽  
Vol 17 (2) ◽  
pp. 291-300
Author(s):  
Martha Ayerza Esra ◽  
Pebiano Subagja
Keyword(s):  
Random Walk ◽  
Efficient Market Hypothesis ◽  
T Test ◽  
Capital Gain ◽  
Efficient Market ◽  
Paired Sample ◽  
Monday Effect ◽  
Gain Loss ◽  
Actual Return

Sebagai Trader haruslah memiliki strategi trading yang menghasilkan capital gain/loss dari actual return. Overnight return dan intraday return merupakan bagian dari actual return. Namun actual return tersebut ternyata dipengaruhi oleh faktor lain. Faktor yang mempengaruhinya adalah fenomena anomaly Monday effect. Teori yang mendasari dari terbentuknya penelitian ini adalah Random Walk, Efficient Market Hypothesis, Anomalies. Random Walk  menjelaskan mengenai pergerakan harga saham yang secara acak dan tidak adapat diprediksi sehinga return yang dihasilkan acak dan tidak dapat diprediksi. Efficient Market Hypothesis menjelaskan mengenai bagaimana informasi suatu sekuritas atau saham diguakan untuk memprediksi harga sekuritas atau saham di masa depan sehinga return yang dihasilkan dapat diprediksi. Anomalies menjelaskan mengenai fenomena yang menyimpang dari teori Efficient Market Hypothesis. Penelitian ini dilakukan pada perusahaan yang yang terdapat dalam Indeks LQ 45 yang terdaftar pada Bursa Efek Indonesia periode Januari 2018 – Desember 2018. Dengan menggunakan metode judgment sampling didapatkan sampel sebanyak 34 perusahaan dengan bantuan program SPSS 25. Teknik analisis data yang digunakan adalah uji beda dua rata-rata paired sample t-test. Hasil penelitian menunjukkan uji beda dua rata-rata paired sample t-test yang digunakan sudah memenuhi uji normalitas. Hasil uji normalitas menunjukkan semua data berdistribusi normal. Nilai signifikansi perbedaan antara rata-rata return hari Senin dengan rata-rata return hari non Senin pada overnight return adalah sebesar 0,119 dengan mean sebesar -0,041 dan Nilai signifikansi perbedaan antara rata-rata return hari Senin dengan rata-rata return hari non Senin pada intraday return adalah sebesar 0,069 dengan mean sebesar 0,1. Hasil penelitian menunjukkan bahwa (1) Tidak ada perbedaan antara perbedaan antara return hari Senin dengan return hari non Senin pada overnight return dan (2) Ada perbedaan antara perbedaan antara return hari Senin dengan return hari non Senin pada intraday return.

scholarly journals The Investigation of a Weak Form of the Efficient Market Hypothesis: Evidence From Stock Markets in the European Union

2019 ◽  
pp. 107-116
Author(s):  
Jacek Karasiński
Keyword(s):  
European Union ◽  
Random Walk ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Model ◽  
Stock Exchanges ◽  
Informational Efficiency ◽  
The European Union ◽  
Efficient Market ◽  
Research Period

The purpose of this article is to examine whether returns of main indexes of selected stock exchanges in the European Union are subject to the random walk model proposed by L. Bacheliere in 1900, which is considered by many researchers to be a synonym of a weak form of the efficient market. The research was conducted for the main indexes of eight selected European stock exchanges representing markets of a different capitalisation. In order to check whether the level of informational efficiency was stable in a whole research period, namely in the years 2000-2017, the research period was divided into three equal six years sub-periods. To test a weak form of the efficient market hypothesis (EMH), four different tests of returns distribution normality were done for daily, weekly, monthly and quarterly intervals. The conducted study allowed for rejecting the null hypothesis saying that returns are subject to the random walk model proposed by L. Bacheliere which leads to normal distribution. Moreover, some significant differences between the research periods occurred. Nonetheless as the random walk model seems to be too strict even for the biggest European markets, it is proposed to test whether the returns can be subject to other stable distributions like the Pareto distribution, which gives higher probability to extremely low and high returns of what resembles actual price fluctuations of financial markets.

An extended list of calendar anomalies in the context of the efficient market hypothesis

2021 ◽  
Vol 93 (2) ◽  
pp. 89-101
Author(s):  
Marcin Fuksiewicz
Keyword(s):  
Capital Markets ◽  
Foreign Capital ◽  
Efficient Market Hypothesis ◽  
Commodity Markets ◽  
Short Term ◽  
Efficient Market ◽  
Monday Effect ◽  
The Usa ◽  
Calendar Anomalies ◽  
Phases Of The Moon

The efficient market hypothesis is commonly tested mainly with regard to capital markets, but it has also been applied to currency and commodity markets. Although the theory has been used to confirm that different markets vary in their effectiveness, certain cyclical anomalies can be observed in these markets. Particularly noteworthy are calendar anomalies, which can be used to develop investment methods and procedures. In addition to commonly known anomalies, such as the January or the December Effect, or short-term ones, like the Friday or Monday Effect, there are many others that are largely unknown in Poland, such as those related to the Presidential Election Cycle in the USA or very short-lived ones, associated with individual hours of investing in a trading session. The aim of the article is to present a possibly complete list of calendar anomalies recognized in foreign capital markets, but largely unknown in Poland, such as short-lived anomalies and exotic ones (e.g. related to phases of the moon).

Volatility and efficiency of the world crude oil market

2015 ◽  
Vol 31 (1) ◽  
pp. 20-29
Author(s):  
Fawzan Abdul Aziz Al Fawzan
Keyword(s):  
Random Walk ◽  
Crude Oil ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Spot Price ◽  
Conditional Heteroskedasticity ◽  
Efficient Market ◽  
Content Type ◽  
Oil Market ◽  
Autoregressive Conditional Heteroskedasticity

Purpose – The purpose of this paper is to examine volatility and the weak-form efficient market hypothesis (random walk) of world spot crude oil market. Design/methodology/approach – The study uses the generalized autoregressive conditional heteroskedasticity (GARCH-M), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and threshold GARCH (TGARCH) models. The data are selected from three markets: Dubai Vetch (DV), West Texas Intermediate, and Europe Brent Spot Price. Findings – The weak-form efficient market (random walk) hypothesis was rejected for all estimated GARCH-M, EGARCH, and TGARCH models, indicating that these markets are inefficient and predictable. For daily data, the empirical results showed the presence of asymmetric effects, and the conditional variance process was found to be highly persistent. Originality/value – This study is unique in its nature as it examines three markets on three continents. In addition, one of these markets (DV) was not carried out by the previous study. This work takes into account the market location.

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 Reaksi Pasar Modal Indonesia terhadap Kemenangan Presiden Republik Indonesia dalam Pilpres 2019

Eksos ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 84-94
Author(s):  
Yani Riyani ◽  
Kartawati Mardiah ◽  
Susan Andriana
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
T Test ◽  
Expected Return ◽  
Event Window ◽  
Paired Sample ◽  
Purposive Sampling ◽  
Actual Return

Penelitian ini bertujuan untuk mengetahui apakah peristiwa pengumuman kemenangan Presiden Republik Indonesia dalam PILPRES 2019 menimbulkan reaksi pada pasar modal Indonesia dan apakah terdapat perbedaan reaksi pasar sebelum dan sesudah pengumuman serta antara saham Syariah dengan yang non Syariah dalam PILPRES 2019. Penelitian ini merupakan event study dengan dengan prosedur penelitian yaitu menentukan event window, menentukan populasi dan sampel, mengumpulkan data harga dan nilai kapitalisasi pasar, menghitung actual return, menghitung expected return, menghitung abnormal return dari setiap saham dengan mengurangi actual return dengan expected return dari masing-masing saham, menghitung rata-rata abnormal return dan menghitung standard errornya, melakukan analisis deskriptif, melakukan uji hipotesis dengan menggunakan analisis one sample t test, paired sample t-test atau wilcoxon serta melakukan interpretasi terhadap hasil pengujian. Populasi dalam penelitian adalah seluruh emiten yang tergabung dalam Sub Sektor Bank yang berjumlah 45 perusahaan. Dengan menggunakan purposive sampling maka yang menjadi sampel sebanyak 34 perusahaan. Penelitian ini menemukan bahwa pertama, pasar modal Indonesia tidak bereaksi pada saat peristiwa pengumuman kemenangan Presiden Republik Indonesia dalam PILPRES 2019. Kedua, tidak terdapat perbedaan reaksi pasar akibat peristiwa pengumuman kemenangan Presiden RI dalam PILPRES 2019 sebelum dan sesudah tanggal pengumuman pemenang. Dan tidak terdapat perbedaan reaksi pasar akibat peristiwa pengumuman kemenangan Presiden RI dalam PILPRES 2019 untuk saham perusahaan Syariah dengan saham perusahaan yang non Syariah.

scholarly journals Stock Market Reaction LQ 45 for Indonesia's 2019

2020 ◽  
Vol 5 (9) ◽  
pp. 170-184
Author(s):  
Yohannes Sukarno ◽  
Matrodji H. Mustafa
Keyword(s):  
Stock Market ◽  
Presidential Elections ◽  
Market Reaction ◽  
Stock Exchange ◽  
T Test ◽  
Test Analysis ◽  
Paired Sample ◽  
Stock Market Reaction ◽  
Actual Return

This study aims to examine the stock market reaction of lq 45 to the 2019 presidential and vice presidential elections. The sample used is LQ 45 shares listed on the Indonesia Stock Exchange (IDX) in 2019. The number of samples in this study is as many as 10 issuers. The study used a paired sample t test analysis by testing actual return and expected (normal) return to determine whether or not it was abnormal during the 2019 presidential and vice presidential elections. The results of this study show that it does not have a significant impact between the return market to the stock retun.

scholarly journals Perbedaan Reaksi Pasar terhadap Pelantikan Presiden dan Wakil Presiden Negara Indonesia Tahun 2019

2020 ◽  
Vol 30 (10) ◽  
pp. 2514
Author(s):  
Gede Paramartha Daisuke Matsuzawa ◽  
Maria Mediatrix Ratna Sari
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Market Reaction ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Vice President ◽  
T Test ◽  
Efficient Market ◽  
Paired Sample ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the inauguration of the president and vice president of Indonesia in 2019, against companies listed in the LQ45 stock sector on October 20, 2019, using the abnormal return indicator. Statistical tests used to test hypotheses are descriptive statistical tests, normality tests and paired sample t-test. The result of paired 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 event of inducting the president and vice president of Indonesia in 2019 due to the absence of abnormal returns in it. Keywords: Event Study; Market Reaction; Abnormal Return; President Election 2019.

scholarly journals Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse

2017 ◽  
Vol 14 (2) ◽  
pp. 376-385 ◽  
Author(s):  
Iqbal Thonse Hawaldar ◽  
Babitha Rohit ◽  
Prakash Pinto
Keyword(s):  
Random Walk ◽  
Stock Price ◽  
Goodness Of Fit ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Goodness Of Fit Test ◽  
Efficient Market ◽  
Share Prices ◽  
The Individual ◽  
Run Test

Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.

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