Testing Long memory in exchange rates and its implications for the adaptive market hypothesis

Asif, Raheel; Frömmel, Michael

doi:10.1016/j.physa.2022.126871

Cited by 7 publications

(3 citation statements)

References 83 publications

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“…The AR( 1) is an autoregressive factor; specifically, it is a lagged return (R[-1]) (or -return(-1), previous capital gain) which depends on market information. Persistent positive or negative information will create a long memory for asset price movements or persistent price direction (Asif and Frömmel, 2022;Jegadeesh and Titman, 2002), including bond prices (Abakah and Gil-Alana, 2021). Thus, the long-memory of positive or negative price movements does not immediately reverse direction; hence haircut movements do not immediately reverse direction.…”

Section: Data and Methodology A Haircut Model And Determinantsmentioning

confidence: 99%

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Analyzing Collateral Repo Haircuts in Asian Countries

Gunadi¹,

Sasongko²,

Sari³

2023

bemp

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We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidities, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.

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Section: Data and Methodology A Haircut Model And Determinantsmentioning

confidence: 99%

“…Nguyen (2020) establishes that yield spread relates to credit default swaps spread, liquidity spread, and haircut spread. Abakah and Gil-Alana (2021), Asif and Frömmel (2022), and Jegadeesh and Titman (2002) find that fixed income generally has a long-memory return or momentum profit.…”

Section: Introductionmentioning

confidence: 98%

Analyzing Collateral Repo Haircuts in Asian Countries

Gunadi¹,

Sasongko²,

Sari³

2023

bemp

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“…Fama's (1970) theory of market efficiency, or the efficiency market hypothesis (EMH), is a condition in which the market is a reflection of the information available (Asif & Frömmel, 2022). The EMH itself is based on a random walk model, where the price of a stock is difficult to estimate by fundamental reports alone because the information in the market is random and unpredictable (Andharini et al, 2022).…”

Section: Literature Review Efficiency Market Hypothesismentioning

confidence: 99%

Stock Market Reaction to The Announcement of 2022 Fuel Price Increase on JII-30

Zidniilman,

Devia

2023

JESTT

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The growth of investors in the capital market always increases every year. The growth of investors in the capital market based on the Indonesian Central Securities Depository (KSEI) increased by 15.96% in 2022. As an investor, of course, the role of information is taken into account in making investments. The announcement of the fuel price increase is one of the available information and can be used as a reference in determining investment decisions. This study aims to determine the response of Jakarta Islamic Index 30 (JII-30) investors to the price increase (BBM) by observing the difference in abnormal returns and trading volume activity before and after the announcement of the 2022 fuel price increase. This research is quantitative and uses the event study method. Based on the research obtained results that between before and after the event occurred, abnormal returns and Trading Volume Activity (TVA) there was no significant difference influenced by the increase in fuel prices. This shows that there is no investor response to the announcements of the fuel price increase. Investors can be wiser and more careful in responding to announcement information and making decisions that will be applied in investing and investors can sort out in advance related announcements and issues as a consideration before making decisions in investing. Keywords: Abnormal Return, Stock Liquidity, Trading Volume Activity, Event Study. ABSTRAK Pertumbuhan investor di pasar modal selalu meningkat dalam setiap tahunnya. Pertumbuhan investor di pasar modal berdasarkan Kustodian Sentral Efek Indonesia (KSEI) meningkat sebesar 15,96% di tahun 2022. Sebagai seorang investor, tentunya peran informasi adalah salah satu yang diperhitungkan dalam melakukan investasi. Pemberitaan kenaikan harga BBM merupakan salah satu informasi yang tersedia dan dapat dijadikan acuan dalam menentukan keputusan dalam berinvestasi. Penelitian ini bertujuan untuk mengetahui respon investor Jakarta Islamic Index 30 (JII-30) pada kenaikan harga (BBM) melalui pengamatan terhadap perbedaan abnormal return dan juga trading volume activity antara sebelum dan sesudah pemberitaan kenaikan harga Bahan Bakar Minyak (BBM) 2022. Penelitian ini merupakan penelitian kuantitatif dan mengunakan metode event study. Berdasarkan penelitian diperoleh hasil bahwa antara sebelum dan setelah event terjadi, abnormal return dan Trading Volume Activity (TVA) tidak terdapat perbedaan signifikan yang dipengaruhi oleh kenaikan harga BBM. Hal tersebut menunjukan tidak adanya respon investor terhadap pemberitaan kenaikan harga BBM. Investor dapat lebih bijak dan cermat dalam menyikapi pemberitaan informasi dan mengambil keputusan yang akan diterapkan dalam berinvestasi serta investor dapat memilah terlebih dahulu terkait berita dan isu sebagai pertimbangan sebelum mengambil keputusan dalam berinvestasi. Kata Kunci: Abnormal Return, Likuiditas Saham, Volume Aktivitas Perdagangan, Event Study.

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