An empirical testing of informational efficiency in Bangladesh capital market

Joarder, Mohammad Abdul Munim; Ahmed, Monir; Haque, Tahsina; Hasanuzzaman, Syed

doi:10.1007/s10644-013-9142-y

Cited by 11 publications

(8 citation statements)

References 66 publications

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“…Hidayati & Mulya [6], Gümüş et al, [7], Meineka & Man [8], Novianti & Mega [9], Kumar et al, [10], Sheikhbahaei et al, [11], dan Jayaraman & Ramatraman [13], hasil dari penelitian mereka menunjukkan bahwa pasar modal sudah dapat di katakan efisien dalam bentuk setengah kuat. Sedangkan Joarde et al, [14], Young et,al., [12], Martiningsih et al, [15]., Dewi & Kartika [16], dan Yulia et al [17] hasil dari penelitian mereka menunjukkan bahwa pasar modal tidak efisien dalam bentuk setengan kuat.…”

Section: Tinjauan Pustakaunclassified

STUDI EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT PADA MASA PANDEMI COVID-19 (Perusahaan Transportasi Di Bursa Efek Indonesia Tahun 2019-2020)

Junaid

Juliana

Marchella

et al. 2021

jakb

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Penelitian ini bermaksud untuk menjawab bagaimanakan kondisi sektor transportasi di Indonesia pada masa pandemi covid-19. apakah sektor tersebut di pasar modal Indonesia efisien dalam bentuk setengah kuat pada masa pandemic covid-19? Metode Purposive Sampling dan Market Adjusted Model digunakan dalam pengukuran sample. Data yang digunakan adalah data abnormal return seluruh perusahaan transportasi yang terdaftar di Bursa Efek Indonesia pada periode 2019-2020 dan terdapat 35 perusahaan yang diteliti. Data dianalisis menggunakan Abnormal Return, Kecepatan Reaksi Pasar, Uji Normalitas dan Uji Beda Independen (Independen Sample T-Test). Hasil penelitian ini menunjukkan bahwa perusahaan transportasi yang terdaftar di Bursa Efek Indonesia efisien bentuk setengah kuat. Pengumuman pandemi covid-19 mempengaruhi harga-harga dengan terdapatnya abnormal return yang tidak berkepanjangan, sehingga harga di pasar dapat mencapai titik keseimbangan harga yang baru. Hasil uji beda abnormal return sebelume dan sesudah pandemic covid 19 pun menunujkkan perbedaan yang signifikan. Kata kunci: efisiensi pasar, study peristiwa, abnormal return

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Section: Tinjauan Pustakaunclassified

STUDI EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT PADA MASA PANDEMI COVID-19 (Perusahaan Transportasi Di Bursa Efek Indonesia Tahun 2019-2020)

Junaid

Juliana

Marchella

et al. 2021

jakb

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“…The study concludes that stock prices in Sri Lanka can be predicted using macroeconomic variables. In a recent study, Joarder et al (2014) have shown that macroeconomic variables (money supply, exchange rate and income) affect stock prices in Bangladesh. The study concludes that the Bangladesh stock market is informationally inefficient due to the presence of this causality.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock prices and macroeconomic variables nexus in South Asian countries

Zakaria¹,

Junyang²

2016

Argumenta Oeconomica

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The paper examines the interactions between stock prices, exchange rate, interest rate, inflation and income in Bangladesh, India, Pakistan and Sri Lanka using monthly data for the period 1997:07 to 2013:06. The motivation is to establish the causal and cointegrating relationship between stock prices and macroeconomic variables. The results indicate that cointegration holds between these variables in all countries. Temporal causality results are mixed, from unidirectional causality to bi-directional and even no causality between stock prices and macroeconomic variables. Causality results generally support the 'portfolio approach' that stock prices lead changes in exchange rate. However, the results of impulse response analysis, based on the structural VAR model, support the 'traditional approach' and suggest that it is exchange rate innovations that affect stock prices. Variance decomposition analysis also supports the findings of impulse response analysis.

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“…[17] investigate the role of monetary aggregates including exchange rates as well as industrial production and its relationship with Bangladeshi Stock market (Dhaka Stock Exchange) returns and found out that there exists informational inefficiency in the market. [18] in their study found that money supply, consumer price index, interest rate and industrial production had a significant relationship with Thai Stock Exchange prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Stock Prices and Economic Activity in India Co-Integrated?

Girish¹,

Vijayalakshmi²

2016

TEL

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In this study we investigate whether stock prices and economic activity in India are co-integrated by using monthly data from 1960 to 2013 and applying high-powered co-integration tests which have an inherent advantage of permitting structural changes in the relationships being tested and in asymmetric co-integration, along with frequently applied co-integration tests of Engle and Granger (1987) and Johansen (1988). The results of the study provide empirical evidence for reasonably saying that stock prices and economic activity in India are co-integrated and validate the prediction in financial economics literature.

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An empirical testing of informational efficiency in Bangladesh capital market

Cited by 11 publications

References 66 publications

STUDI EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT PADA MASA PANDEMI COVID-19 (Perusahaan Transportasi Di Bursa Efek Indonesia Tahun 2019-2020)

STUDI EFISIENSI PASAR MODAL INDONESIA BENTUK SETENGAH KUAT PADA MASA PANDEMI COVID-19 (Perusahaan Transportasi Di Bursa Efek Indonesia Tahun 2019-2020)

Stock prices and macroeconomic variables nexus in South Asian countries

Is Stock Prices and Economic Activity in India Co-Integrated?

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