Prediktabilitas Return Saham Jangka Pendek di Bursa Efek Indonesia
The concept of market efficiency has been the foundation of much both empirical and theoretical research in financial economics. The concept that was early researched by Fama (1970) and other scholar has moved other kind of research. There are some that view the market efficiency concept from the pr...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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| Summary: | The concept of market efficiency has been the foundation of much both
empirical and theoretical research in financial economics. The concept that was
early researched by Fama (1970) and other scholar has moved other kind of
research. There are some that view the market efficiency concept from the pros and
some from the cons. This research is aimed to test wether or not the short term stock
return predictability exist. This predictability will determine the market is efficient
or not through the observation of monthly stock return.
Previous research by Jegadessh (1990) investigates the various aspect of
return predictability by analizing the serial correlation of individual monthly stock
return and found that return have a predictable behavior. The research in Indonesian
Stock Exchange is done by testing a hypothesis which is trying to prove the
predictability of stock return. This research will test the influence of historical stock
return to the current stock return with a tool of regression model and eventually
shows a predictable pattern of stock return.
The result of this research indicates that the historical stock return had a
positive influence to the current stock return in short term period. However, if
observed from the pattern of significant regression coefficient, stock return lags
moves randomly and shows no consistency on the pattern and the influence to
current stock return. |
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