The Impact of New Information Regime on Pricing Efficiency of Dual and Non Dual Listed Companies on the Jakarta and Surabaya Stock Exchanges

Nelmida, Nelmida (2018) The Impact of New Information Regime on Pricing Efficiency of Dual and Non Dual Listed Companies on the Jakarta and Surabaya Stock Exchanges. European Journal of Social Sciences, 6 (2). pp. 15-23. ISSN 1450-2267

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Abstract

The existence of weak-form pricing efficiency on dual and non dual listed companies on the Jakarta and Surabaya stock exchanges for the period before and after regulation changes (from 1991 to 1995 for before and from 1996 to 2004 for after) using daily, weekly and monthly closing prices was investigated. This study provides evidence on the before and after impact of imposing new information regime on the Jakarta and Surabaya stock exchanges using weak-form efficiency test. This paper employs the BDS test, which is widely used to distinguish random independent and identically distributed error terms and also to detect non-linear dependence. Two variants of the BDS tests were performed to evaluate weak-form efficiency namely: (i) the normalized BDS test, (ii) the BDS test under EGARCH. The findings indicate that in general both the Jakarta and Surabaya stock exchanges show mixed evidence of weak form pricing efficiency. Before the regulation changes, both exchanges are weak-form efficient at the monthly interval but not for daily and weekly intervals. After regulation changes, both exchanges exhibit weak-form characteristics for monthly and weekly return series but not for daily interval. The results implied that the new information regime have impacted on the Jakarta and Surabaya stock exchange by making both exchanges becoming more price efficient.

Item Type: Article
Uncontrolled Keywords: Weak-form EMH, Jakarta Stock Exchanges, Surabaya Stock Exchange, BDS Test, Information regime
Subjects: H Social Sciences > HG Finance
Divisions: KODEPRODI61201#Manajemen
Depositing User: Mrs. Nelmida Nelmida
Date Deposited: 18 Oct 2020 10:59
Last Modified: 18 Oct 2020 10:59
URI: http://repository.ibs.ac.id/id/eprint/1426

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