Nelmida, Nelmida (2010) The impact of new information regime on dual and non-dual Listed Companies in the Jakarta and Surabaya Stock Exchanges by Using variance ratio test. In: International conference on business and economics (ICBE), 15 April 2010, Bukittinggi.
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Abstract
This paper employs the Variance Ratio Test to examine the random walk of the weak-form efficient market hypothesis (EMH). The existence of weak-form efficiency on the dual and non dual listed companies on the Jakarta and Surabaya Stock Exchange for the period before and after regulation changes (from 1991 to 1995 and from 1996 to 2004) using daily, weekly and monthly closing prices. This study provides evidence on the impact of new information regime on the Jakarta stock exchanges by using the weak-form efficiency test. This study uses data from the returns series of the selected dual and non dual listed companies before regulation changes from 1991 to 1995 and after regulation changes from 1996 to 2004. The findings indicate that in general the null hypothesis of Random walk and insignificant at the 5% level on the dual and non dual listed companies before and after regulation changes. The results suggest that it is difficult to reject the random walk hypotheses for most of the return series. This result confirms that the market is weak-form efficient, except for daily and weekly returns before regulation changes and for daily return after regulation changes. The results also implied that the new information regime have impacted on the Jakarta and Surabaya stock exchange by making it becoming more efficient
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Weak-form EMH, the Jakarta Stock Exchanges, the Surabaya stock exchange, the Variance Ratio Test and Information regime. |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Library of Congress Subject Areas > Prodi S2 Magister Manajemen Prodi S2 Magister Manajemen |
| Depositing User: | Mrs. Nelmida Nelmida |
| Date Deposited: | 18 Oct 2020 11:28 |
| Last Modified: | 18 Oct 2020 11:28 |
| URI: | http://repository.ibs.ac.id/id/eprint/1489 |
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