Thanks to visit codestin.com
Credit goes to www.scribd.com

0% found this document useful (0 votes)
54 views5 pages

$7hvwlqjri (Iilflhqw0Dunhwv+/Srwkhvlv LQ, Qgrqhvld6Wrfn0Dunhw: Sciencedirect

The document analyzes the efficiency of Indonesia's stock market by testing for weak-form efficiency using daily stock price data from 2013 to 2014. Statistical tests of run tests and serial correlation tests were performed and found that stock prices moved randomly with no correlation between past and present, indicating weak-form efficiency in Indonesia's stock market.

Uploaded by

dimitty
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
54 views5 pages

$7hvwlqjri (Iilflhqw0Dunhwv+/Srwkhvlv LQ, Qgrqhvld6Wrfn0Dunhw: Sciencedirect

The document analyzes the efficiency of Indonesia's stock market by testing for weak-form efficiency using daily stock price data from 2013 to 2014. Statistical tests of run tests and serial correlation tests were performed and found that stock prices moved randomly with no correlation between past and present, indicating weak-form efficiency in Indonesia's stock market.

Uploaded by

dimitty
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 5

Available online at www.sciencedirect.

com

ScienceDirect
Procedia - Social and Behavioral Sciences 219 (2016) 99 – 103

UG*OREDO&RQIHUHQFHRQ%XVLQHVVDQG6RFLDO6FLHQFH*&%66'HFHPEHU
.XDOD/XPSXU0DOD\VLD

$7HVWLQJRI(IILFLHQW0DUNHWV+\SRWKHVLV
LQ,QGRQHVLD6WRFN0DUNHW

<DQXDU$QGULDQWRD DQG$GULDQ5LVKDG0LU]DE
a,b
PPM School of Management, Jalan Menteng Raya 9, Central Jakarta, 10340, Indonesia

$EVWUDFW

7KLVUHVHDUFK¶VREMHFWLYHLVWRVHHPDUNHWHIILFLHQF\IRUPRQ,QGRQHVLDVWRFNVPDUNHW8VLQJGDLO\VWRFNVSULFHGDWDJDWKHUHGIURP
/4,QGH[-DNDUWD,VODPLF,QGH[ -,, DQG.RPSDV,QGH[GXULQJWKHSHULRGVRIXQWLO6WDWLVWLFDOWHVWXVLQJUXQ
WHVWDQGVHULDOFRUUHODWLRQWHVWWRH[DPLQHZHDNIRUPHIILFLHQF\7KHUHVXOWILQGLQJVVKRZLQJWKDW,QGRQHVLDVWRFNPDUNHWKDVEHHQ
FDWHJRUL]HGDVZHDNIRUPHIILFLHQF\7KHVWDWLVWLFDOWHVWLQJZDVGRQHDQGWKHUHVXOWDUH WKHGDLO\VWRFNVSULFHPRYHPHQWLV
UDQGRPZDON WKHVWRFNSULFHPRYHPHQWKDVQRFRUUHODWLRQEHWZHHQWKHSUHVHQWGD\DQGWKHSUHYLRXVGD\

© 2016 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
‹7KH$XWKRUV3XEOLVKHGE\(OVHYLHU/WG
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
3HHUUHYLHZXQGHUUHVSRQVLELOLW\RIWKH2UJDQL]LQJ&RPPLWWHHRIWKHUG*&%66
Peer-review under responsibility of the Organizing Committee of the 3rd GCBSS-2015

Keywords:&DSLWDO0DUNHW(IILFLHQW0DUNHWV+\SRWKHVLV (0+ ,QGRQHVLD6WRFN([FKDQJH-DNDUWD,VODPLF,QGH[.RPSDV,QGH[/4


,QGH[5XQ7HVW6HULDO&RUUHODWLRQ7HVW6WRFN3ULFHDQG:HDN)RUP

,QWURGXFWLRQ

6WRFNPDUNHWVKDYHDQLPSRUWDQWUROHIRUFRXQWU\GHYHORSPHQW6WRFNPDUNHWVRIIHULQJVLQYHVWPHQWDOWHUQDWLYHVIRU
LQYHVWRUV DQGIXQGLQJVRXUFHV IRU WKH FRPSDQ\,QGRQHVLDVWRFN PDUNHW SHUIRUPDQFHVRYHU WKHSDVWILYH \HDUVKDV
LQFUHDVHGUHIOHFWHGLQ-DNDUWD&RPSRVLWH,QGH[ -&, )LQDQFLDO6HUYLFHV$XWKRULW\ 2-. VWDWHVWKDWLQWKHODVWILYH
\HDUV-&,LVVWLOOEHWWHUWKDQWKHGHYHORSPHQWRIWKHJOREDOVWRFNPDUNHWLQGLFHVVXFKDVWKH$XVWUDOLDQ $6; 0DOD\VLD
./&,  6LQJDSRUH 67,  DQG RWKHUV ,W LV UHIHUHQFHG IURP WKH SRLQW RI -&, LQ  VKRZLQJ DQ LQFUHDVH RI 
FRPSDUHGZLWKWKH\HDUVKRZVWKHSRLQWDWZKLOHLQGHPRQVWUDWHWKHSRLQWDWSHU$XJXVW
 ZZZLG[FRLG 



&RUUHVSRQGLQJDXWKRU7HO)D[
E-mail address:DQGULDQWR#JPDLOFRP\QU#SSPPDQDMHPHQDFLG

1877-0428 © 2016 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of the Organizing Committee of the 3rd GCBSS-2015
doi:10.1016/j.sbspro.2016.04.048
100 Yanuar Andrianto and Adrian Rishad Mirza / Procedia - Social and Behavioral Sciences 219 (2016) 99 – 103

2QWKHRWKHUKDQGWKHVWRFNPDUNHWLQ,QGRQHVLDLVH[SHULHQFLQJDVORZGRZQLQ7KH-&,SRLQW  ZDV


UDQNHG WKLUGZRUVW DIWHU &KLQD 6KDQJKDL  DPRXQWHG WR  DQG7KDLODQG 6(7  E\ 7KLV LV GXH WR WKH
SUHVVXUHVRIJOREDODQGGRPHVWLFFRQGLWLRQV/DWHUVHHQLQSDUWLFXODULQWKHSRLQWRI-&,VLQFHWKHRSHQLQJRIWKH
PDUNHWXQWLOWKHPRQWKRI$XJXVWWKHSRLQWRI-&,FRQWLQXHGWRGHFOLQH,WLVWKHLPSDFWRIWKH*UHHNGHEWFULVLVWKH
FRQGLWLRQRIWKHGRPHVWLF&KLQHVHPDUNHWDQGRWKHUFRQGLWLRQV<HWRYHUDOO,QGRQHVLDQVWRFNPDUNHWSHUIRUPDQFH
VKRZHGDQLQFUHDVHRYHUWKHODVWILYH\HDUV
,QFUHDVHG SHUIRUPDQFH RI WKH VWRFN PDUNHW LQ ,QGRQHVLD FDQ RFFXU GXH WR VHYHUDO HYHQW VXFK DV D FKDQJH RI
JRYHUQPHQWDQGWKHHPHUJHQFHRIUHODWHGLQIRUPDWLRQLPPHGLDWHO\HQIRUFHG$6($1(FRQRPLF&RPPXQLW\ $(& 
,WFDQDIIHFWILQDQFLDOSHUIRUPDQFHGXHWRVXFKHYHQWVDVDEDVLVLQWKHGHFLVLRQPDNLQJLQWKHIXWXUH %RGLHet al
*LWPDQDQG-RHKQN $FFRUGLQJWRUHJXODWLRQVFRPSDQLHVDUHDOVRUHTXLUHGWREHPRUHRSHQWRWKHSXEOLF
WR SURYLGH LQIRUPDWLRQ UHODWHG WR FRPSDQ\ SHUIRUPDQFH LQIRUPDWLRQ 5, /DZ 88 1R RI  RQ 3XEOLF
,QIRUPDWLRQ 7KLVUHJXODWLRQZLOOSURYLGHJRRGQHZVIRUWKHSXEOLFDQGLQYHVWRUVWRLQYHVWWKHLUPRQH\

1.1 Previous Study and Literature Review

$VVWDWHGE\)DPD  UHJDUGLQJWKHHIILFLHQF\RIVWRFNPDUNHWVVWDWLQJWKDWDPDUNHWFDQEHHIILFLHQWLIDOO


PDUNHWSDUWLFLSDQWVJHWLQFRPHHTXDOWRRQHDQRWKHUQRPDWWHUWKHLQYHVWRULVDEHJLQQHURUDQH[SHUW:KLOHDPDUNHW
LVHIILFLHQWWKHILQDQFLDOUHVRXUFHVZLOOEHDOORFDWHGLQDQHFRQRPLFZD\(IILFLHQWVWRFNPDUNHWVHQFRXUDJHLQGLYLGXDOV
WRLQYHVWLQVWRFNVDQGKHOSILUPV¶PDQDJHUVWRPD[LPL]HZHDOWKRIVWRFNKROGHUV 6DHHGLet al 7KHWKUHHOHYHOV
RIPDUNHWHIILFLHQF\HQWLWOHGµµZHDNIRUPVHPLVWURQJIRUPDQGVWURQJIRUP¶¶UHTXLUHGLIIHUHQWOHYHOVRILQIRUPDWLRQ
WRWHVWWKHLUUHOHYDQFH )DPD)DPDDQG)UHQFK 
,Q WKLV SDSHU ZH FRQFHQWUDWH RQ WKH ZHDNIRUP ZKLFK DVVHUWV WKDW VWRFN SULFHV IXOO\ UHIOHFW DOO LQIRUPDWLRQ
FRQWDLQHGLQWKHSDVWSULFHKLVWRU\RIWKHPDUNHW7KLVYHUVLRQRIWKHK\SRWKHVLVLPSOLHVWKDWWUHQGDQDO\VLVLVIUXLWOHVV
3DVWVWRFNSULFHGDWDDUHSXEOLFO\DYDLODEOHDQGYLUWXDOO\FRVWOHVVWRREWDLQ7KHZHDNIRUPK\SRWKHVLVKROGVWKDWLI
VXFKGDWDHYHUFRQYH\HGUHOLDEOHVLJQDOVDERXWIXWXUHSHUIRUPDQFHDOOLQYHVWRUVDOUHDG\ZRXOGKDYHOHDUQHGWRH[SORLW
WKHVLJQDOV %RGLHet al )DPD  GHILQHGWKHZHDNIRUPE\IRFXVLQJRQWKUHHSRLQWVDUH  WHVWVIRUUHWXUQ
SUHGLFWDELOLW\  HYHQWVWXGLHVDQG  WHVWVRISULYDWHLQIRUPDWLRQ -DUUHWW 
3UHYLRXVVWXGLHVKDYHEHHQGRQHWRWHVWWKHZHDNIRUPHIILFLHQF\LQ,QGRQHVLD+XVQDQ  /HJRZR  
,VWLDQD   'LGLN   $VWXWL   DQG 1DVUXOGLQ   5HVXOWV IRXQG WKDW ,QGRQHVLD KDV D ZHDNIRUP
HIILFLHQF\ +RZHYHU WKLV LV FRQWUDVW ZLWK 'HZL   WKDW IRXQG GLIIHUHQW UHVXOWV LQ KLV UHVHDUFK HQWLWOHG &DSLWDO
0DUNHW(IILFLHQF\7HVW7KURXJK0RYHPHQW(YDOXDWLRQ/4LQGH[LQ,QGRQHVLD6WRFN([FKDQJH8VLQJWKH$5,0$
PHWKRGVWKHUHVXOWVRIWKHVHVWXGLHVLQGLFDWHWKDWWKH,QGRQHVLDVWRFNPDUNHWFRXOGQ¶WEHVDLGWREHHIILFLHQWLQWKH
ZHDNIRUPIRUWKHUHWXUQPRYHPHQWRIWKH/4

1.2. Research purpose 

,QWKLVUHVHDUFKZHLQWHUHVWWRH[DPLQHWKHPRYHPHQWRIVWRFNSULFHVRIOLVWHGFRPSDQLHVRQWKH-DNDUWD,VODPLF
,QGH[ -,,  /4 DQG .RPSDV  ,QGH[ RYHU WKH SHULRG  ,Q DGGLWLRQ WR GHWHUPLQH WKH UHODWLRQVKLS
FKDQJHVGDLO\VWRFNSULFHVRIVRPHRIWKHLQGH[GXULQJWKHSHULRG7KLVVWXG\IRFXVHVRQWKHGDLO\VWRFN
SULFHPRYHPHQWVIURPLQGH[LQWKH,QGRQHVLD6WRFN([FKDQJHDVZHOODVFDSLWDOPDUNHWHIILFLHQF\WKHRU\WHVW7KLV
UHVHDUFKXVLQJUXQWHVWDQGVHULDOFRUUHODWLRQWHVWZKLFKDUHWKHPHWKRGUHFRPPHQGHGE\VRPHUHVHDUFKHUVWRFRQGXFW
WHVWLQJHIILFLHQF\LQZHDNIRUP )DPD+DUWRQR 'LIIHUHQFHVRIWKLVVWXG\ZLWKSUHYLRXVUHVHDUFKWKDWLV
ODUJHUVDPSOHVL]HODUJHULQGH[DQGGLIIHUHQWSHULRGVQDPHO\WKHSHULRGWR

 5HVHDUFK0HWKRGRORJ\

7KLV VWXG\ XVLQJ GDLO\ VWRFN SULFH GDWD RI OLVWHG FRPSDQ\ LQ /4 ,QGH[ .RPSDV  ,QGH[ DQG -,, -DNDUWD
,VODPLF,QGH[ LQWKHSHULRGWR7KHVDPSOHRIWKHVWXG\ZHUHSXUSRVLYHO\VHOHFWHGWRVHOHFWWKHSURSHU
VDPSOHEDVHGRQFULWHULDWKHIROORZLQJD &RPSDQ\DUHOLVWHGLQWKHLQGH[GXULQJWKHSHULRGDQGE WKH
VDPSOHUHSUHVHQWVWKHHQWLUHSRSXODWLRQWKDWLVDFWLYHO\WUDGHGLQVHYHUDOLQGH[VDWOHDVWWLPHVOLVWHG  RYHUWKH
SHULRGWR7KHUHDUHVL[W\HLJKWFRPSDQLHVVHOHFWHGVDPSOHVPHHWWKHFULWHULDQDPHO\-DNDUWD,VODPLF,QGH[
Yanuar Andrianto and Adrian Rishad Mirza / Procedia - Social and Behavioral Sciences 219 (2016) 99 – 103 101

-,, ZDVHOHFWHGWKHWZHQW\WZRFRPSDQLHVQLQHFRPSDQLHVVHOHFWHGLQ/4LQGH[DVZHOODVHOHFWHGWKLUW\VHYHQ
ILUPV RQ WKH &RPSDVV  ,QGH[ :H JDWKHUHG VHFRQGDU\ GDWD IURP WKH ZHEVLWH ZZZLG[FRP DQG
ZZZ\DKRRILQDQFHFRP
7KHGHVLJQRIWKLVUHVHDUFKLVH[SODQDWRU\UHVHDUFKZKHUHZHWHVWDWKHRU\WKDWKDVEHHQWHVWHGHPSLULFDOO\E\VRPH
SUHYLRXVUHVHDUFKHUV,QWKLVFRQWH[WYDULDEOHVWHVWHGUHODWLRQVKLSLVWKHPRYHPHQWRIWKHVWRFNSULFHSHULRGRI
DQG7KHDQDO\VLVWHFKQLTXHSURFHVVHGXVLQJ6WDWLVWLFDO6RIWZDUH6366YHUVLRQ7KHGDWDXVHGLVWKHDGMXVWHG
FORVHDQGFRQYHUWHGLQWRDUHWXUQIRUPWKDWDLPVWRVHHWKHPRYHPHQWRIWKHVWRFNSULFH5HVHDUFKHUWHVWHGZKHWKHUWKH
VWRFNSULFHPRYHPHQWVIROORZDUDQGRPZDONRUIROORZLQJDFHUWDLQSUREDELOLW\GLVWULEXWLRQXVLQJ=WHVW5HVHDUFKHU
DOVRFRQGXFWHGVHULDOFRUUHODWLRQWHVWDUHUHFRPPHQGHGDQGXVHGE\VRPHSUHYLRXVUHVHDUFKHU7KLVWHVWLVWRVHHWKH
UHODWLRQVKLS GDLO\ VWRFN SULFH WRGD\ ZLWK WKH SUHYLRXV VWRFN SULFH EHIRUH XVLQJ W WHVW RQ D VLPSOH OLQHDU UHJUHVVLRQ
PRGHO5HVHDUFKHUVVHWWZRK\SRWKHVLVSURSRVHGLQWKLVVWXG\DUHDVIROORZV
+6WRFNSULFHVPRYHPHQWLQ,QGRQHVLDSHULRGWRIROORZDUDQGRPZDON
+7KHUHLVDUHODWLRQVKLSRIFKDQJHGDLO\VWRFNSULFHEHWZHHQWKHSUHVHQWGD\DQGWKHSUHYLRXVGD\

 )LQGLQJVDQG'LVFXVVLRQ

7KHUHVXOWVRIGDLO\VWRFNSULFHUHWXUQPRYHPHQWVLQWKHSHULRGWRXVLQJWKH5XQ7HVWWRVHHZKHWKHUWKH
SDWWHUQRIVWRFNSULFHVIROORZDUDQGRPZDON5HVHDUFKHUXVHGDVLJQLILFDQFHOHYHORI Į  ZLWKܼ௧௔௕௟௘  
7KXVK\SRWKHVLVDFFHSWHGLIܼ௥௘௦௨௟௧ ൏  ܼ௧௔௕௟௘ DQGSUREYDOXHRU39!Į

3.1 Run Test Result

7DEOH5XQ7HVW5HVXOW
   
=WDEOHYDOXHDQGĮ    
5HVXOW
$YHUDJH    
$YHUDJH 
3ULFH3DWHUQ 5DQGRP 5DQGRP 5DQGRP 5DQGRP

7KHRYHUDOOUHVXOWVDKRZWKDWWKHDYHUDJHYDOXHLVDWܼ௥௘௦௨௟௧ ൏  ܼ௧௔௕௟௘   DQGWKHDYHUDJH39YDOXH
 !Į  ,WPHDQVWKDWWKH+UHVXOWVUHFHLYHGWKXVLQGLFDWLQJWKHVWRFNSULFHFKDQJHV\HDUSHULRGLV
UDQGRPZDONLQWKH,QGRQHVLD6WRFN([FKDQJH7KDWLVRYHUDOOLQWKHSHULRGLQ,QGRQHVLD6WRFN([FKDQJHKDV
EHHQHIILFLHQWLQWKHZHDNIRUP
7KHQ YLHZHG DV D ZKROH WKDW WKH DYHUDJHYDOXH LV  DWܼ௥௘௦௨௟௧ ൏  ܼ௧௔௕௟௘    DQGWKH DYHUDJH 39YDOXH
 !Į  VRLQRWKHUZRUGV+UHFHLYHGWKDWLQGLFDWHVWKDWWKHVWRFNSULFHFKDQJHV\HDUSHULRGDOVRLV
UDQGRP ZDON LQ WKH ,QGRQHVLD 6WRFN ([FKDQJH 6R RYHUDOO LQ WKH SHULRG  VWUHDPOLQHG WKH ,QGRQHVLD 6WRFN
([FKDQJHLQWKHZHDNIRUP
7KHUHVXOWVVKRZHGWKDWRQO\VL[VWRFNV  WKDWLWV+LVUHMHFWHG:KLOHVXSSRUWLQJWKHVWRFN+LVDFFHSWHGE\
ZKLFKLQGLFDWHVWKDWWKHLQGLYLGXDOFKDQJHVLQVWRFNSULFHVDUHUDQGRPSHULRGRI DUDQGRPZDON LQWKH
,QGRQHVLD6WRFN([FKDQJH7KDWLVLQWKHSHULRG,QGRQHVLD6WRFN([FKDQJHKDVEHHQHIILFLHQWLQWKHZHDNIRUP

3.2 Serial Correlation Test Result

7DEOH6HULDO&RUUHODWLRQ7HVW5HVXOW

   


WWDEOHYDOXHDQGĮ    
 5HVXOW
 $YHUDJH    
$YHUDJH 
 &RUUHODWLRQ QR QR QR QR
7KHUHVXOWVRIWKHGDLO\VWRFNSULFHRI-DNDUWD,VODPLF,QGH[ -,, /4,QGH[DQG.RPSDV,QGH[LQWKHSHULRG
RIVKRZHGWKDWWKHDYHUDJHYDOXHRIDW‫ݐ‬௥௘௦௨௟௧ ൏  ‫ݐ‬௧௔௕௟௘   DQGWKHDYHUDJHYDOXHRI39  !
102 Yanuar Andrianto and Adrian Rishad Mirza / Procedia - Social and Behavioral Sciences 219 (2016) 99 – 103

Į  VR+UHMHFWHGVXJJHVWLQJWKDWWKHUHLVQRFRUUHODWLRQEHWZHHQWKHGDLO\VWRFNSULFHWFKDQJHVZLWKWKHGDLO\
VWRFNSULFHSUHYLRXVGD\LQWKHSHULRGLQLQWKH,QGRQHVLD6WRFN([FKDQJH7KDWLVLQWKHSHULRG,QGRQHVLD
6WRFN([FKDQJHKDVEHHQHIILFLHQWLQWKHZHDNIRUP 
,QWKHSHULRGRIWKHUHVXOWVVKRZHGWKDWWKHDYHUDJHYDOXHLVDW‫ݐ‬௥௘௦௨௟௧ ൏  ‫ݐ‬௧௔௕௟௘   DQGWKH39
YDOXHDYHUDJH  !Į  VRLQRWKHUZRUGV+UHMHFWHGVXJJHVWLQJWKDWWKHUHLVQRFRUUHODWLRQEHWZHHQGDLO\
VWRFNSULFHWFKDQJHVZLWKWKHGDLO\VWRFNSULFHSUHYLRXVGD\LQWKHSHULRGLQLQWKH,QGRQHVLD6WRFN([FKDQJH

3.2 Discussion

5HVXOWVIURPWKHVWXG\VKRZHGWKDWGXULQJWKHSHULRGWKHVWRFNPDUNHWLQ,QGRQHVLDKDVEHHQLQFOXGHG
LQWRWKHFDWHJRU\RIZHDNIRUPHIILFLHQWPDUNHWERWKLQSDWWHUQVDQGUHODWLRQVKLSVRISULFHFKDQJHV,WFDQEHVHHQ
IURPWKHWZRWULDOVWKDWKDYHEHHQFRQGXFWHGWKDWRYHUDOOWKHVDPSOHVVKRZHGWKHFDSLWDOPDUNHWLQ,QGRQHVLDLVQRW
HIILFLHQWLQWKHZHDNIRUPLVPDUNHGO\ORZHUWKDQ LQVKRZHGWKHYDOXHRIZKHUHDVLQVKRZHG
WKHYDOXHRILQWKHUXQWHVWDQGLQVKRZHGWKHYDOXHRIDQGLQVKRZHGRQWKHYDOXHRIWKH
FRUUHODWLRQWHVW 
7KHFRPSDULVRQSDWWHUQRISULFHFKDQJHVFDSLWDOPDUNHWLQ,QGRQHVLDKDVLQFUHDVHGHIILFLHQF\LQWKHSHULRGRI
FRPSDUHGZLWKWKHSHULRGLQGXHWRWKHSDWWHUQRISULFHFKDQJHVLQWKHVHFRQGSHULRGIROORZHGDUDQGRPZDON
7KLVFDQRFFXUEHFDXVHHYHU\\HDUPDUNHWSDUWLFLSDQWVDUHDFWLYHO\JURZLQJDQGWKHSURGXFWVWUDGHGDOVRLQFUHDVHG
/DWHU WHFKQRORJLFDO GHYHORSPHQWV UDSLGO\ DOVR DIIHFW WKH LQFUHDVH LQ WKH HIILFLHQW PDUNHW EHFDXVH WKH LQIRUPDWLRQ
DYDLODEOHLVVSUHDGIDLUO\HYHQO\GLVWULEXWHGLQDUHODWLYHO\FORVHWRWKHVWRFNPDUNHWVRWKDWWKHVHLQYHVWRUVFDQUHDFW
UDSLGO\DOVRWRWKHHPHUJHQFHRIDQLQIRUPDWLRQDQGVRSULFHVTXLFNO\WRRPDNHDGMXVWPHQWVWRWKDWLQIRUPDWLRQ$V
ZHNQRZWKHUHDUHDQXPEHURIDSSOLFDWLRQVWKDWVXSSRUWWKHGLVVHPLQDWLRQRIVXFKLQIRUPDWLRQDVWKHDSSOLFDWLRQLQ
WKHIRUPRIPHGLD GHWLNFRPNRPSDVFRP WKDWPDNHVLWHDVLHUWRJHWWKHLQYHVWRUVRIVXFKLQIRUPDWLRQLQWKHVDPH
WLPHSHULRGUHODWLYHO\TXLFNO\
9LHZHGIURPWKHSULFHFKDQJHVLQWKHSHULRG,QGRQHVLDVWRFNPDUNHWGHFUHDVHGHIILFLHQF\ZKHQFRPSDUHGWR
7KHQVHHQIURPWKHILQDQFLDOEHKDYLRUWKDWUHDFWLQFDVHRIDQHYHQW7KHSRVVLELOLW\RIDGHFUHDVHLQHIILFLHQF\
FDXVHGE\WKHUHSODFHPHQWRI,QGRQHVLDSUHVLGHQW7KHUHSODFHPHQWRI,QGRQHVLDSUHVLGHQWFRQGXFWHGRYHUILYH\HDUV
$OWKRXJKWKHDPRXQWRIWKHSHUFHQWDJHRIFRPSDQLHVWKDWVKRZDFRUUHODWLRQRISULFHFKDQJHVVKRZHGDORZ\LHOGLW
LVQRWLPSRVVLEOHWKDWWKHUHDUHDQXPEHURILQYHVWRUVZKRXVHWKHLQIRUPDWLRQFKDQJHVLQWKHVWRFNSULFHILYH\HDUV
HDUOLHUDWDWLPHZKHQUHSODFHPHQWRISUHVLGHQWWRREWDLQDEQRUPDOUHWXUQ,WFDQGLVUXSWWKHHTXLOLEULXPSULFHLQWKH
PDUNHWEHFDXVHVRPHLQYHVWRUVGRQRWFDSWXUHVLJQDOVVXFKSULFHFKDQJHVVRWKHUHWXUQREWDLQHGUHODWLYHO\WKHVDPH
FDXVLQJDGHFUHDVHLQWKHHIILFLHQF\LQUHODWLRQWRSULFHFKDQJHV
%DVHGRQWKHDQDO\VLVVWDWHGWKDWWKHFDSLWDOPDUNHWLQ,QGRQHVLDKDVEHHQHIILFLHQWLQWKHZHDNIRUP+RZHYHU
WKHUHDUHDQXPEHURIFRPSDQLHVWKDWFDQEHVDLGWREHLQHIILFLHQWLQWHUPVRIERWKWKHSDWWHUQDQGUHODWLRQVKLSFKDQJHV
LQVWRFNSULFHV6RPHFRQGLWLRQVWKDWFDQPDNHWKHPDUNHWLQHIILFLHQWDQGOLNHO\WRKDSSHQWRWKHFRPSDQ\RYHUWKH
VWXG\SHULRGZDVGXHWRVRPHLQYHVWRUVPD\DIIHFWWKHSULFHRIVHFXULWLHVRIWKHFRPSDQ\VRPHFRPSDQLHVDOOHJHGWR
KDYHDFFHVVWRLQIRUPDWLRQWKDWFDQRQO\EHUHDFKHGE\VRPHLQYHVWRUVRQO\DQGWKHUDSLGGHYHORSPHQWRIWHFKQRORJ\
VXSSRUWVVSHHGVGHFLVLRQPDNLQJ
7KHUHDUHDQXPEHURIHYHQWVZKLFKDOOHJHGO\FDXVHGVRPHFRPSDQLHVDUHQRWHIILFLHQWHLWKHULQHIILFLHQWLQ
DVZHOODVLQHIILFLHQWLQ7KHVHHYHQWVFDQEHFRQVLGHUHGDVWKHWHQGHQF\RIWKHPDUNHWZKHUHWKHWHQGHQF\RIWKH
PDUNHWLVDFRQGLWLRQRIWKHIRUPDWLRQRISULFHVWHQGWREHVLPLODUHDFK\HDU7KHUHDUHIRXUPDUNHWDQRPDOLHVNQRZQ
LQILQDQFLDOWKHRU\1RWRQO\WKHWHQGHQF\RISULFHLQFUHDVHLQ-DQXDU\HVSHFLDOO\DIHZGD\VHDUO\WKHUHDUHPDQ\
PDUNHWWUHQGVVXFKDVWKHLQFUHDVLQJWUHQGRISULFHVRQVRPHGD\VWKHHQGRIHDFKPRQWKWKHWHQGHQF\RILQFUHDVLQJ
SULFHVRQ0RQGD\VDQG)ULGD\VDVZHOODVVRPHRIWKHPDUNHWWUHQGVRIRWKHUFDWHJRULHVWKDWKDYHEHHQPHQWLRQHGE\
-RQHV LQ+DUWRQR LQFDOOHGWKHPDUNHWDQRPDOLHV

 &RQFOXVLRQ

7KHUHVXOWVDUHFRQVLVWHQWZLWKSUHYLRXVUHVHDUFKZKLFKFODLPHGWKDWWKHVWRFNPDUNHWLQ,QGRQHVLDLVWKHZHDNIRUP
HIILFLHQWPDUNHW7KHUHLVQRFRUUHODWLRQEHWZHHQWKHSUHVHQWRIGDLO\VWRFNSULFHZLWKWKHSUHYLRXVGD\LQWKHSHULRG
WR7KHUHVXOWVDOVRVKRZHGWKDWWKHHIILFLHQF\RIWKHPDUNHWVLQWKH,QGRQHVLDQVWRFNPDUNHWLVLQFUHDVLQJ
Yanuar Andrianto and Adrian Rishad Mirza / Procedia - Social and Behavioral Sciences 219 (2016) 99 – 103 103

HYHU\\HDURQWKHUHVXOWVRIWKHWHVWUXQ7KXVWKHPRUHGLIILFXOWIRULQYHVWRUVWRHDUQDEQRUPDOUHWXUQVE\XVLQJSDVW
LQIRUPDWLRQ 7KLV LVEHFDXVHWKH SDWWHUQRIVWRFNSULFH FKDQJHV LQ,QGRQHVLDQ VWRFN PDUNHW LVUDQGRP ZDON VR WKH
LQYHVWRUVZLOOEHGLIILFXOWWRSUHGLFWIXWXUHSULFHFKDQJHV7KHOLPLWDWLRQRIWKLVVWXG\DUHQXPEHURILQGH[DQGGDWD
WLPHVHULHV:HDOVRVXJJHVWIRUIXWXUHUHVHDUFKWRILQGWKHLQIOXHQFHWKHPDUNHWDQRPDOLHVRUPDUNHWWUHQGWRZDUGVWKH
HIILFLHQWPDUNHWVWKHRU\ 7KHLPSOLFDWLRQRIWKHVWXG\LQSUDFWLFHDUHVHYHUDOFRPSDQLHVKDVQRZHDNIURPWKHWHVW
UHVXOWVEXWZKHQYLHZHGDVDZKROHVWRFNPDUNHWLQ,QGRQHVLDKDVEHHQHIILFLHQWLQWKHZHDNIRUP6RWKDWSDUWLHV
LQWHUHVWHG LQ WKH VWRFN PDUNHW RI ,QGRQHVLD VWLOO JHW DEQRUPDO UHWXUQ 7KH LQYHVWRUV DOVR KDYH WR UHDFW UDSLGO\ IRU
LQIRUPDWLRQ¶VXVLQJIXQGDPHQWDOVDQDO\VLVDQGXSGDWLQJPDUNHWFRQGLWLRQUDSLGO\E\XWLOL]LQJQHZVIURPGLJLWDOPHGLD

5HIHUHQFHV

$VWXWL6DQWL1RYLWD  $QDOLVD(ILVLHQVL3DVDU0RGDO%HQWXN/HPDK3DGD%XUVD(IHN-DNDUWD 0DVWHU¶VWKHVLV8QLYHUVLWDV'LSRQHJRUR


6HPDUDQJ,QGRQHVLD 
%RGLH=YLH.DQH$OH[ 0DUFXV$ODQ-  ,QYHVWPHQW WKHG 1HZ<RUN0F*UDZ+LOO,UZLQ
'HZL 5HWQR .XPDOD   3HQJXMLDQ (ILVLHQVL 3DVDU 0RGDO 0HODOXL (YDOXDVL 3HUJHUDNDQ ,QGHNV /4 'L %XUVD (IHN ,QGRQHVLD WKHVLV
8QLYHUVLWDV,VODP1HJUL6\DULI+LGD\DWXOODK-DNDUWD,QGRQHVLD 
'LGLN6'LRQ\VLXV  $QDOLVLV7LQJNDW(ILVLHQVL3DVDU0RGDO%HQWXN/HPDK6WXGL.RPSDUDVL3DGD37%XUVD(IHN-DNDUWD3HULRGH7DKXQ
´7HVLV3URJUDP6WXGL0DJLVWHU0DQDMHPHQ3DVFD6DUMDQD8QLYHUVLWDV'LSRQHJRUR6HPDUDQJ
)DPD(XJHQH)  $5HYLHZRI7KHRU\DQG(PSLULFDO:RUN7KH-RXUQDORI)LQDQFH9RO1R3DSHUVDQG3URFHHGLQJVRIWKH7ZHQW\
(LJKWK$QQXDO0HHWLQJRIWKH$PHULFDQ)LQDQFH$VVRFLDWLRQ1HZ<RUNSS
*LWPDQ/DZUHQFH-$QG-RHKQN0LFKDHO'  )XQGDPHQWDOVRI,QYHVWLQJ WKHG %RVWRQ3HDUVRQ(GXFDWLRQ,QF
*XPDQWL7DWDQJ$ULDQG8WDPL6UL  %HQWXN3DVDU(ILVLHQGDQ3HQJXMLDQQ\D-XUQDO$NXQWDQVLGDQ.HXDQJDQ)DNXOWDV(NRQRPL8QLYHUVLWDV
.ULVWHQ3HWUD9RO1R
+DUWRQR-RJL\DQWR  7HRUL3RUWRIROLRGDQ$QDOLVLV,QYHVWDVL HG <RJ\DNDUWD%3)(
+HUPDZDQ0RXG\GDQ6XEL\DQWRUR+HUX  3HQJXMLDQ+LSRWHVLV3DVDU(ILVLHQ%HQWXN/HPDK3DGD3DVDU0RGDO'L,QGRQHVLD6HEXDK
&DWDWDQ(PSLULV-XUQDO.HXDQJDQ3XEOLN9RO1R$SULO
+XVQDQ6XDG  'DVDU'DVDU7HRUL3RUWRIROLRGDQ$QDOLVLV6HNXULWDV HGLVL,,, -DNDUWD883$03<3.1
-DUUHWW-HIIUH\(  (IILFLHQWPDUNHWVK\SRWKHVLVDQGGDLO\YDULDWLRQLQVPDOO3DFLILFEDVLQVWRFNPDUNHWV0DQDJHPHQW5HVHDUFK5HYLHZ
9RO,VVSS
-RKDQ-LPP\&DUWHU7DPERWRKGDQ+DUL6XQDU\R  (ILVLHQVL/HPDK3DVDU0RGDO,QGRQHVLD3HULRGH-XQL+LQJJD-XOL-RXUQDO
(NRQRPLGDQ%LVQLV,QGRQHVLD
0DU¶DWL)XGML6UL  $QDOLVLV(ILVLHQVL3DVDU0RGDO,QGRQHVLD-XUQDO,OPX0DQDMHPHQGDQ$NXQWDQVL7HUDSDQ6HNRODK7LQJJL,OPX(NRQRPL
67,( $0$6DODWLJD9RO1R
1DVUXOGLQ   3HQJXMLDQ +LSRWHVLV 3DVDU (ILVLHQ %HQWXN /HPDK 3DVDU 0RGDO GL ,QGRQHVLD 7KHVLV 8QLYHUVLWDV ,VODP 1HJHUL 6\DULI
+LGD\DWXOODK-DNDUWD,QGRQHVLD 
3ULKDQWRUR '0% $JXQJ   3HQJXMLDQ (ILVLHQVL 3DVDU 0RGDO ,QGRQHVLD %HQWXN /HPDK 'L %(, 3HULRGH  0DVWHU¶V WKHVLV
8QLYHUVLWDV'LSRQHJRUR6HPDUDQJ,QGRQHVLD 
6DHHGL$OL0LUDVNDUL6H\HG5H]DDQG$UD0HKUGDG6DGU  7KH,QYHVWLJDWLRQRI(IILFLHQW0DUNHW+\SRWKHVLV(YLGHQFHIURPDQ(PHUJLQJ
0DUNHW7KH$VLDQ%XVLQHVVDQG0DQDJHPHQW&RQIHUHQFH2VDND-DSDQ

You might also like