Macroeconomic variables and stock market interactions: Indonesia evidence / Vidiyanna Rizal Putri, Nelmida and Husnizam Hosin

Rizal Putri, Vidiyanna and -, Nelmida and Hosin, Husnizam (2018) Macroeconomic variables and stock market interactions: Indonesia evidence / Vidiyanna Rizal Putri, Nelmida and Husnizam Hosin. INSIGHT Journal, 2. pp. 86-97. ISSN 2600-8564

Abstract

The existence of semi strong-form pricing efficiency on the LQ 45 Index in the Indonesia Stock Exchanges from 2004 to 2014 for using monthly closing prices was investigated. This study
provides evidence on the Indonesia Stock Exchanges (IDX) using semi strong-form efficiency test. This paper employs the integration test, which is widely used to distinguish the impact of macroeconomic factors (The consumer price index, exchange rate, gross domestic product, and interest rate) to market returns (Lq45 Index). The findings indicate that in Indonesia Stock Exchanges show mixed evidence of Semi strong form pricing efficiency characteristics for monthly return series. The results implied that the new information have impacted on the Indonesia Stock Exchanges by making exchanges becoming more price efficient.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Rizal Putri, Vidiyanna
UNSPECIFIED
-, Nelmida
UNSPECIFIED
Hosin, Husnizam
UNSPECIFIED
Contributors:
Contribution
Name
Email / ID Num.
Editor
Zainon, Assoc. Prof Dr. Saunah
UNSPECIFIED
Editor
Raja Ahmad, Dr. Raja Adzrin
UNSPECIFIED
Editor
Soo Kum Yoke, Assoc. Prof. Dr. Carolyn
UNSPECIFIED
Editor
Kadri, Assoc. Prof. Dr Mohd Halim
UNSPECIFIED
Editor
Mohd Ariff Albakri, Assoc. Prof. Dr. Intan Safinas
UNSPECIFIED
Editor
Shamsuddin, Assoc. Prof. Dr. Hj Amanuddin
UNSPECIFIED
Editor
Che Yaakob, Assoc. Prof. Ahmad Nawawi
UNSPECIFIED
Editor
Ismail, Dr. Noriah
UNSPECIFIED
Editor
Khairani, Dr. Noor Sufiawati
UNSPECIFIED
Editor
Othman, Dr. Akmal Aini
UNSPECIFIED
Editor
Ismail, Dr Norashikin
UNSPECIFIED
Editor
Ahmad, Dr Syahrul Ahmar
UNSPECIFIED
Editor
Misman, Dr. Faridah Najuna
UNSPECIFIED
Subjects: H Social Sciences > HB Economic Theory. Demography > Macroeconomics
H Social Sciences > HG Finance > Investment, capital formation, speculation
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Divisions: Universiti Teknologi MARA, Johor > Segamat Campus
Journal or Publication Title: INSIGHT Journal
UiTM Journal Collections: UiTM Journal > INSIGHT Journal (IJ)
ISSN: 2600-8564
Volume: 2
Page Range: pp. 86-97
Related URLs:
Keywords: Semi Strong - Form EMH; Indonesia Stock Exchanges; Integration Test; Macroeconomic Variables; UiTM Cawangan Johor
Date: 2018
URI: https://ir.uitm.edu.my/id/eprint/41330
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