Market efficiency and global issues: A case of Indonesia

Budiarso, Novi Swandari; Pontoh, Winston

doi:10.21511/imfi.19(4).2022.01

Cited by 6 publications

(1 citation statement)

References 68 publications

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“…RF t is the rate of return on risk-free assets, which is the interest rate of the Central Bank of Indonesia. In addition, following Budiarso and Pontoh (2022), this study uses the runs test to detect the market efficiency with the following formula.…”

Section: Methodsmentioning

confidence: 99%

The “Christmas Effect” on defensive accelerated stocks

Kuada,

Mamonto

2023

CFABR

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The Christmas event in December 2022 is accompanied by an increase in inflation and also an increase in interest rates. The objective of this study is to examine the Christmas effect on optimal returns for investors. To analyze this phenomenon, this study carries out several stages, which are testing the market efficiency and estimating whether there are abnormal returns or not throughout the Christmas period. The consumer non-cyclical sector stocks in the accelerating trading board are used as the sample. The observation period is from 28 November 2022 to 20 January 2023 and is divided into two sub-periods. This study finds that market condition is inefficient before the Christmas event, resulting in higher abnormal returns and risks.

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Section: Methodsmentioning

confidence: 99%

The “Christmas Effect” on defensive accelerated stocks

Kuada,

Mamonto

2023

CFABR

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COVID-19 and market efficiency in ASEAN-5 countries: Stochastic Frontier Analysis

Rizqi Febriandika,

Shohwatul Islam,

Sanusi

et al. 2024

Investment Management and Financial Innovations

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This research paper aims to explore the market efficiency of stock exchanges in of ASEAN-5 countries, Indonesia, Malaysia, Singapore, Thailand, and the Philippines, during the COVID-19 pandemic. Stock market efficiency is the degree to which stock prices reflect all available relevant information. In an efficient market, stock prices will immediately rise or fall to reflect new information released by a company. This study uses the Stochastic Frontier Analysis (SFA) method to determine the efficient value over time. Market efficiency generally refers to how well financial markets in these selected countries reflect all available information, particularly in the context of the COVID-19 pandemic. SFA is useful here as it can separate random errors from inefficiencies, allowing us to isolate the impact of COVID-19 on market efficiency levels across these countries. The results show that the stock markets of ASEAN-5 countries (Indonesia, Malaysia, Thailand, Singapore, and Philippines) are efficient during the COVID-19 pandemic. Based on the hypothesis test, for the overall period of 2021 and 2023, the average efficiency ranges from 0.68 to 0.72, and for the time period/per year the average efficiency ranges from 0.66 to 0.74. The efficiency of the Philippine stock market based on time period/per year shows the average maximum efficiency in 2021 (0.74) and 2023 (0.73). While the average efficiency of the Malaysian stock market shows the minimum level of efficiency in 2020 (0.66) and 2021 (0.68). AcknowledgmentThe authors would like to thank the Research and Innovation Institute (LRI), Universitas Muhammadiyah Surakarta, for the enormous financial support in writing this study.

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Model for preventing bankruptcy of Ukrainian enterprises in force majeure circumstances

ПОЛЯКОВ

Zayukov

2022

Problems and Perspectives in Management

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Given rapid changes in global financial and economic processes caused by rapid transformations in the institutional environment and the onset of force majeure circumstances, there is a need to develop new approaches to assessing the level of bankruptcy. Most models that estimate the probability of enterprise bankruptcy are based on internal information, while external information is used to a limited extent. The growing threat of force majeure requires using not only the existing discrete models but also those that consider the external environment of enterprises when assessing the probability of bankruptcy. The purpose of this study is to develop a model for preventingbankruptcy of Ukrainian enterprises in force majeure conditions based on the use of artificial intelligence methods ‒ the theory of fuzzy logic– which allows for a comprehensive assessment of bankruptcy prevention. The paper uses analytical data from the World Bank. The model consists of interrelated groups of factors: organizational, informational and legal, and economic. As a result, a comprehensive indicator of prevention of corporate bankruptcies (D) was calculated on a neurolinguistic scale from 0 to 10; the indicator was estimated for Ukraine (5.644) and Romania (4.520) (as countries close in terms of economic and geopolitical development). The simulation results show that the level of prevention of enterprises’ bankruptcy in Ukraine falls into the average interval.

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Market efficiency and global issues: A case of Indonesia

Cited by 6 publications

References 68 publications

The “Christmas Effect” on defensive accelerated stocks

The “Christmas Effect” on defensive accelerated stocks

COVID-19 and market efficiency in ASEAN-5 countries: Stochastic Frontier Analysis

Model for preventing bankruptcy of Ukrainian enterprises in force majeure circumstances

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