Efisiensi pasar dan mean-reversion di Indonesia

Authors

  • Dian Purnama Sari Widya Mandala Catholic University
  • Djeini Maradesa Sam Ratulangi University
  • Novi Swandari Budiarso Sam Ratulangi University

DOI:

https://doi.org/10.58784/mbkk.114

Keywords:

IHSG, return, mean-reversion, weak form, market efficient

Abstract

The Indonesian capital market is one of the markets in Asia that has the potential to be influenced by various economic and other global issues. This study aims to examine market conditions in Indonesia in the context of the weak form efficient market hypothesis. The sample used is the rate of return from the composite index in Indonesia with an observation period from 2010 to 2023. This study finds that the average value throughout the observation period is quite small and almost close to zero although it has an optimum return. In further analysis, the finding shows that the market in Indonesia is consistent with the weak form efficient market hypothesis with a mean-reversion tendency.

Downloads

Download data is not yet available.

References

Ahmad, S. J., & Badri, J. (2022). Pengaruh inflasi dan tingkat suku bunga terhadap indeks harga saham gabungan yang terdaftar di Bursa Efek Indonesia pada tahun 2013-2021. Jurnal Economina, 1(3), 679-689. DOI: 10.55681/economina.v1i3.160

Ardian, R., Hendayana, Y., & Sulistyowati, A. (2024). Pengaruh inflasi, suku bunga dan nilai tukar terhadap indeks harga saham gabungan. Kinerja: Jurnal Ekonomi dan Bisnis, 6(01), 180-193. DOI: 10.34005/kinerja.v6i01.3580

Budiarso, N. S., & Pontoh, W. (2022). Market efficiency and global issues: A case of Indonesia. Investment Management and Financial Innovations, 19(4), 1-13. DOI:10.21511/imfi.19(4).2022.01

Budiarso, N. S., & Pontoh, W. (2023). Testing the market efficiency when interest rates change: Case in Indonesia. Research in Management and Accounting, 6(2), 119-128. DOI: 10.33508/rima.v6i2.5130

Dewi, L. P. K., & Artini, L. G. S. (2014). Pengujian efisiensi pasar bentuk setengah kuat di Bursa Efek Indonesia. E-Jurnal Manajemen, 3(12), 3540-3557. https://ojs.unud.ac.id/index.php/manajemen/article/view/9972

Dibyantoro. (2021). Pengujian Bentuk pasar modal efisiensi lemah pada saham-saham perusahaan sektor telekomunikasi sebelum dan saat pandemi COVID-19. Jurnal Riset Bisnis dan Manajemen Tirtayasa, 5(2), 171-185. https://jurnal.untirta.ac.id/index.php/JRBM/article/view/11369

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. DOI: 10.2307/2325486

Jung, W., & Kang, M. (2021). The short-term mean reversion of stock price and the change in trading volume. Journal of Derivatives and Quantitative Studies, 29(3), 190-214. DOI: 10.1108/JDQS-01-2021-0003

Kanan, F., & Nahading, J. (2023). The impact of inflation on growth of market index. The Contrarian: Finance, Accounting, and Business Research, 2(2), 51-55. DOI: 10.58784/cfabr.27

Khajar, I. (2008). Pengujian efisiensi dan peningkatan efisiensi bentuk lemah Bursa Efek Indonesia pada saat dan sesudah krisis moneter pada saham-saham LQ-45. Journal of Theoretical and Applied Management (Jurnal Manajemen Teori dan Terapan), 1(3), 144-164. DOI: 10.20473/jmtt.v1i3.2369

Malkiel, B. G. (1989). Is the stock market efficient? Science, 243(4896), 1313-1318. DOI: 10.1126/science.243.4896.1313

Pontoh, W., & Budiarso, N. S. (2023a). Efficient market and the COVID-19 pandemic: Case of ASEAN-5. The Contrarian: Finance, Accounting, and Business Research, 1(1), 23-29. DOI: 10.58784/cfabr.7

Pontoh, W., & Budiarso, N. S. (2023b). The random walk and systematic risk in Indonesia. Journal of Accounting, Finance and Auditing Studies, 9(2), 224-235. DOI: 10.32602/jafas.2023.020

Pradita, A. E., & Fidyah, F. (2022). Dampak suku bunga, inflasi, nilai tukar, dan jumlah uang beredar terhadap indeks harga saham gabungan. Jurnal Ilmiah Ekonomi Bisnis, 27(1), 31-43. DOI: 10.35760/eb.2022.v27i1.3693

Yulianti, E., & Jayanti, D. (2019). Pengujian efisiensi pasar bentuk lemah pada pasar modal Indonesia periode 2014-2017. Jurnal Gentiaras Manajemen dan Akuntansi, 11(2), 178-190. DOI: 10.47768/gema.v11i2.169

Downloads

Published

2024-03-05

How to Cite

Sari, D. P., Maradesa, D., & Budiarso, N. S. (2024). Efisiensi pasar dan mean-reversion di Indonesia. Manajemen Bisnis Dan Keuangan Korporat, 2(2), 103–108. https://doi.org/10.58784/mbkk.114

Issue

Vol. 2 No. 2 (2024)

Section

Articles

License

Copyright (c) 2024 Dian Purnama Sari, Djeini Maradesa, Novi Swandari Budiarso

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Under this license then authors free to:

  • Share - copy and redistribute the material in any medium or format.
  • Adapt - remix, transform, and build upon the material for any purpose, even commercially.

The licensor cannot revoke these freedoms as long as you follow the license terms.

Under the following terms:

  • Attribution - You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
  • No additional restrictions - You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.


Notices:

  • You do not have to comply with the license for elements of the material in the public domain or where your use is permitted by an applicable exception or limitation.
  • No warranties are given. The license may not give you all of the permissions necessary for your intended use. For example, other rights such as publicity, privacy, or moral rights may limit how you use the material.