The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity
Abstract: This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010. In the first step, the standard linear unit root test, namely...
| Main Author: | |
|---|---|
| Format: | Article |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2011
|
| Subjects: |
| _version_ | 1797020001731870720 |
|---|---|
| author | Perpustakaan UGM, i-lib |
| author_facet | Perpustakaan UGM, i-lib |
| author_sort | Perpustakaan UGM, i-lib |
| collection | UGM |
| description | Abstract: This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010. In the first step, the standard linear unit root test, namely the augmented Dickey-Fuller (ADF) test, Phillip-Perron (PP) test and Kwiatkowski-Philllips-Schmidt-Shin (KPSS) test identify the random walk behaviour in the indices. In order to take account the possible breaks in the index series Zivot and Adrews (1992) one break and Lumsdaine and Papell (1997) two breaks unit root test are employed to observe whether the presence of breaks in the data series will prevent the stocks from randomly pricing or vice versa. In the third step, we employ Harvey et al. (2008) test to examine the presence of nonlinear behaviour in Indonesian stock indices. The evidence of nonlinear behaviour in the indices, motivate us to use nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and Kruse (2010). In general, the results from standard linear unit root test, Zivot and Adrews (ZA) test and Lumsdaine and Papell (LP) test provide evidence that Jakarta Composite Index characterized by a unit root. In addition, structural breaks identified by ZA and LP test are corresponded to the events of financial market liberalization and financial crisis. The nonlinear unit root test procedure fail to rejects the null hypothesis of unit root for all indices, suggesting that Jakarta Composite Index characterized by random walk process supporting the theory of efficient market hypothesis.
Abstrak: Penelitian ini secara empiris mengamati perilaku pasar saham Indonesia dalam kerangka hipotesis pasar yang efisien dengan menekankan pada perilaku pergerakan harga acak (random walk) dan nonlinier selama periode April 1983 - Desember 2010. Pada langkah pertama digunakan uji unit root yang standar dan linier, yaitu uji augmented Dickey-Fuller (ADF), Phillip-Perron (PP) dan Kwiatkowski-Philllips-Schmidt- Shin (KPSS), yang mengidentifikasi perilaku random walk pada indeks. Untuk memperhitungkan kemungkinan adanya patahan (breaks) dalam indeks, digunakan uji Zivot dan Adrews (1992) satu breaks dan Lumsdaine dan Papell (1997) dua breaks unit root, untuk mengamati apakah kehadiran patahan dalam seri data akan mempengaruhi perilaku harga saham dari perilaku random atau sebaliknya. Pada langkah ketiga, kami menggunakan model Harvey et al. (2008) untuk memeriksa adanya perilaku nonlinier dalam indeks saham Indonesia. Adanya temuan perilaku nonlinier dalam indeks, memotivasi peneliti untuk menggunakan prosedur tes nonlinear unit root yang dikembangkan oleh Kapetanios et al. (2003) dan Kruse (2010). Secara umum, hasil dari uji unit root yang standar dan linier, Zivot dan Adrews (ZA) dan Lumsdaine dan Papell (LP) menunjukkan bahwa IHSG memiliki perilaku pergerakan harga yang acak. Selain itu, adanya patahan struktural diidentifikasi oleh uji ZA dan LP yang berhubungan dengan peristiwa liberalisasi pasar keuangan dan krisis keuangan. Prosedur uji unit root nonlinier gagal untuk menolak nul hipotesis unit root untuk semua indeks, menunjukkan bahwa IHSG ditandai oleh proses random walk mendukung teori hipotesis pasar efisien. |
| first_indexed | 2024-03-13T19:08:32Z |
| format | Article |
| id | oai:generic.eprints.org:28875 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T19:08:32Z |
| publishDate | 2011 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:288752014-06-18T00:23:23Z https://repository.ugm.ac.id/28875/ The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity Perpustakaan UGM, i-lib Jurnal i-lib UGM Abstract: This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010. In the first step, the standard linear unit root test, namely the augmented Dickey-Fuller (ADF) test, Phillip-Perron (PP) test and Kwiatkowski-Philllips-Schmidt-Shin (KPSS) test identify the random walk behaviour in the indices. In order to take account the possible breaks in the index series Zivot and Adrews (1992) one break and Lumsdaine and Papell (1997) two breaks unit root test are employed to observe whether the presence of breaks in the data series will prevent the stocks from randomly pricing or vice versa. In the third step, we employ Harvey et al. (2008) test to examine the presence of nonlinear behaviour in Indonesian stock indices. The evidence of nonlinear behaviour in the indices, motivate us to use nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and Kruse (2010). In general, the results from standard linear unit root test, Zivot and Adrews (ZA) test and Lumsdaine and Papell (LP) test provide evidence that Jakarta Composite Index characterized by a unit root. In addition, structural breaks identified by ZA and LP test are corresponded to the events of financial market liberalization and financial crisis. The nonlinear unit root test procedure fail to rejects the null hypothesis of unit root for all indices, suggesting that Jakarta Composite Index characterized by random walk process supporting the theory of efficient market hypothesis. Abstrak: Penelitian ini secara empiris mengamati perilaku pasar saham Indonesia dalam kerangka hipotesis pasar yang efisien dengan menekankan pada perilaku pergerakan harga acak (random walk) dan nonlinier selama periode April 1983 - Desember 2010. Pada langkah pertama digunakan uji unit root yang standar dan linier, yaitu uji augmented Dickey-Fuller (ADF), Phillip-Perron (PP) dan Kwiatkowski-Philllips-Schmidt- Shin (KPSS), yang mengidentifikasi perilaku random walk pada indeks. Untuk memperhitungkan kemungkinan adanya patahan (breaks) dalam indeks, digunakan uji Zivot dan Adrews (1992) satu breaks dan Lumsdaine dan Papell (1997) dua breaks unit root, untuk mengamati apakah kehadiran patahan dalam seri data akan mempengaruhi perilaku harga saham dari perilaku random atau sebaliknya. Pada langkah ketiga, kami menggunakan model Harvey et al. (2008) untuk memeriksa adanya perilaku nonlinier dalam indeks saham Indonesia. Adanya temuan perilaku nonlinier dalam indeks, memotivasi peneliti untuk menggunakan prosedur tes nonlinear unit root yang dikembangkan oleh Kapetanios et al. (2003) dan Kruse (2010). Secara umum, hasil dari uji unit root yang standar dan linier, Zivot dan Adrews (ZA) dan Lumsdaine dan Papell (LP) menunjukkan bahwa IHSG memiliki perilaku pergerakan harga yang acak. Selain itu, adanya patahan struktural diidentifikasi oleh uji ZA dan LP yang berhubungan dengan peristiwa liberalisasi pasar keuangan dan krisis keuangan. Prosedur uji unit root nonlinier gagal untuk menolak nul hipotesis unit root untuk semua indeks, menunjukkan bahwa IHSG ditandai oleh proses random walk mendukung teori hipotesis pasar efisien. [Yogyakarta] : Universitas Gadjah Mada 2011 Article NonPeerReviewed Perpustakaan UGM, i-lib (2011) The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity. Jurnal i-lib UGM. http://i-lib.ugm.ac.id/jurnal/download.php?dataId=11938 |
| spellingShingle | Jurnal i-lib UGM Perpustakaan UGM, i-lib The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title | The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title_full | The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title_fullStr | The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title_full_unstemmed | The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title_short | The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity |
| title_sort | behavior of indonesian stock market structural breaks and nonlinearity |
| topic | Jurnal i-lib UGM |
| work_keys_str_mv | AT perpustakaanugmilib thebehaviorofindonesianstockmarketstructuralbreaksandnonlinearity AT perpustakaanugmilib behaviorofindonesianstockmarketstructuralbreaksandnonlinearity |