Macroeconomic Variables and Stock Market Interactions: Indonesia Evidence

Nelmida, Nelmida (2018) Macroeconomic Variables and Stock Market Interactions: Indonesia Evidence. Insight Journal Universiti Technology Mara Cawangan Johor, 2. pp. 86-98. ISSN 1450-2267

Preview	Text Editorial Board 3.pdf Download (237kB) | Preview
Preview	Text IJ VOLUME 2 2018-89-100.pdf Download (152kB) | Preview
Preview	Text Hasil Turnitin.3.pdf Download (2MB) | Preview
Preview	Text Peer Review External 3.pdf Download (257kB) | Preview
Preview	Text Peer Review Internal 3.pdf Download (254kB) | Preview

Abstract

Abstract The existence of semi strong-form pricing efficiency on the LQ 45 Index in the Indonesia Stock Exchanges from 2004 to 2014 for using monthly closing prices was investigated. This study provides evidence on the Indonesia Stock Exchanges (IDX) using semi strong-form efficiency test. This paper employs the integration test, which is widely used to distinguish the impact of macroeconomic factors (The consumer price index, exchange rate, gross domestic product, and interest rate) to market returns (Lq45 Index). The findings indicate that in Indonesia Stock Exchanges show mixed evidence of Semi strong form pricing efficiency characteristics for monthly return series. The results implied that the new information have impacted on the Indonesia Stock Exchanges by making exchanges becoming more price efficient.

Item Type:	Article
Uncontrolled Keywords:	Semi Strong - Form EMH, the Indonesia Stock Exchanges, the Integration Test and Macroeconomic Variables
Subjects:	H Social Sciences > HG Finance
Depositing User:	Mrs. Nelmida Nelmida
Date Deposited:	18 Oct 2020 11:27
Last Modified:	18 Oct 2020 11:27
URI:	http://repository.ibs.ac.id/id/eprint/1435

Actions (login required)

View Item