Apakah investor berpeluang mengalahkan pasar Indonesia?
DOI:
https://doi.org/10.58784/ramp.78Kata Kunci:
efficient, weak-form, actual, estimated, risk-returnAbstrak
Since 2020, the capital market in Indonesia has been filled with information about changes in global conditions which have greatly influenced economic conditions. This study aims to estimate market efficiency (in weak form) using time series data from 1 January 2020 to 15 December 2023. The findings show that market conditions throughout the observation period were inefficient in weak form. Apart from that, the findings also show that the risk-return tradeoff of the estimated market index in Indonesia tends to improve. However, the movement pattern of the estimated market index is also predicted to remain in an inefficient condition in a weak form. These findings imply that investors tend to have the opportunity to beat the market in the next 150 days with the aim of obtaining abnormal returns.
Unduhan
Referensi
Agustin, I. N. (2019). Testing weak form of stock market efficiency at the Indonesia Sharia Stock Index. Muqtasid: Jurnal Ekonomi dan Perbankan Syariah, 10(1), 17-29. DOI: 10.18326/muqtasid.v10i1.17-29
Aprillianto, B., Wulandari, N., & Kurrohman, T. (2014). Perilaku investor saham individual dalam pengambilan keputusan investasi: Studi hermeneutika-kritis. E-Journal Ekonomi Bisnis dan Akuntansi, 1(1), 16-31. https://jurnal.unej.ac.id/index.php/e-JEBAUJ/article/view/567
Ary, W. W. (2021). Apakah pengumuman resmi kasus pertama COVID-19 oleh Presiden Joko Widodo memiliki kandungan informasi? Event study pada saham-saham LQ-45. Entrepreneurship Bisnis Manajemen Akuntansi, 2(1), 27-39. DOI: 10.37631/e-bisma.v2i1.361
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
Dwipayana, I. G. N. A. P., & Wiksuana, I. G. B. (2017). Pengujian efisiensi pasar di Bursa Efek Indonesia. E-Jurnal Manajemen, 6(4). 2105-2132. https://ojs.unud.ac.id/index.php/manajemen/article/view/28379
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
Juliana, A., Junaid, M. T., Yuniati, N., & Malik, A. D. (2023). Studi efisiensi pasar bentuk lemah pada pasar modal indonesia: sebelum dan sesudah COVID 19. Akuntabel: Jurnal Ekonomi dan Keuangan, 20(1), 18-30. https://journal.feb.unmul.ac.id/index.php/AKUNTABEL/article/view/12894
Junaid, M. T., Juliana, A., Lahengke, J. M., Azis, M. I., Malik, A. D., & Padliansyah, R. (2021). Studi efisiensi pasar modal Indonesia bentuk setengah kuat pada masa pandemi COVID-19: Perusahaan transportasi di Bursa Efek Indonesia tahun 2019-2020. Jurnal Akuntansi Keuangan dan Bisnis, 14(2), 201-210. DOI: 10.35143/jakb.v14i2.4786
Kiky, A. (2018). Kajian empiris teori pasar efisien (efficient market hypothesis) pada Bursa Efek Indonesia. Jurnal Bina Manajemen, 6(2), 139-156. https://wiyatamandala.e-journal.id/JBM/article/view/4
Kusumawati, D., & Safiq, M. (2019). Analisis faktor-faktor yang mempengaruhi investment opportunity set dan implikasinya terhadap return saham. Jurnal STEI Ekonomi, 28(01), 1-27. DOI: 10.36406/jemi.v28i01.258
Riyano, Y. B. A., Purwoto, L., & Wahyu E. R. C. (2019). Pengujian hipotesis pasar efisien bentuk lemah: Studi empiris pada saham-saham sektor telekomunikasi di Bursa Efek Indonesia. Procuratio: Jurnal Ilmiah Manajemen, 7(2), 140-151. https://www.ejournal.pelitaindonesia.ac.id/ojs32/index.php/PROCURATIO/article/view/422
Silviani, A., Sugema, T. M., & Sundari, F. M. (2022). Perdagangan saham, return dan Indeks LQ45 periode 2018-2021. Maro: Jurnal Ekonomi Syariah dan Bisnis, 5(2), 307-325. https://ejournal.unma.ac.id/index.php/maro/article/view/4869
Stefhani, Y. (2018). Pengujian efisien pasar modal bentuk lemah di Pasar Modal Syariah. Jurnal Manajemen, 3(1), 62-74. DOI: 10.54964/manajemen.v3i1.119
Utami, A. T. (2018). Efisiensi pasar bentuk lemah pada pasar modal Indonesia, Malaysia dan Korea Selatan periode krisis ekonomi global 2008. Jurnal Inspirasi Bisnis dan Manajemen, 2(2), 101-116. DOI: 10.33603/jibm.v2i2.1476
Yulianti, E., & Komara, E. F. (2020). Pengujian efisiensi pasar bentuk lemah pada periode bullish dan bearish di Bursa Efek Indonesia. Jurnal Administrasi Bisnis, 16(2), 163-173. https://journal.unpar.ac.id/index.php/JurnalAdministrasiBisnis/article/view/4318
Unduhan
Diterbitkan
Cara Mengutip
Terbitan
Bagian
Lisensi
Hak Cipta (c) 2023 Novi Swandari Budiarso, Winston Pontoh
Artikel ini berlisensi 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.
