Rizal Putri, Vidiyanna (2018) MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS. Insight Journal Universiti Technology Mara Cawangan Johor, 2. pp. 86-97. ISSN 1450-2267
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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. Keywords: Semi Strong - Form EMH, the Indonesia Stock Exchanges, the Integration Test and Macroeconomic Variables
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Prodi S1 Akuntansi |
| Depositing User: | Mrs. Vidiyanna Rizal Putri |
| Date Deposited: | 26 Jan 2021 12:58 |
| Last Modified: | 26 Jan 2021 12:58 |
| URI: | http://repository.ibs.ac.id/id/eprint/1648 |
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MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS. (deposited 18 Oct 2020 10:59)
- MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS. (deposited 26 Jan 2021 12:58) [Currently Displayed]
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