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All Journal Matrik: Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan Jurnal Ekonomi Jurnal Keuangan dan Perbankan Jurnal Manajemen dan Bisnis Sriwijaya JURNAL ILMIAH MANAJEMEN BISNIS DAN TERAPAN JPSriwijaya International Journal of Artificial Intelligence Research SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS JMM (Jurnal Masyarakat Mandiri) Jurnal Akuntansi dan Bisnis JURNAL ILMU KEOLAHRAGAAN Jurnal Manajemen Maranatha Altius: Jurnal Ilmu Olahraga dan Kesehatan International Journal of Economics, Business and Accounting Research (IJEBAR) Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Sricommerce: Journal of Sriwijaya Community Services Journal of Social Science The Manager Reveiew Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah
Sulastri
Department Of Management, Faculty Of Economics And Business, Universitas Sriwijaya Jl. Srijaya Negara Bukit Besar, Palembang, 30128
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Journal : Jurnal Manajemen dan Bisnis Sriwijaya

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Cointegrated Index Mover Stock and Composite Stock Index at ISE (Random Walk Analysis) Sulastri Sulastri
JURNAL MANAJEMEN DAN BISNIS SRIWIJAYA Vol 7, No 13 (2009): Jurnal Manajemen dan Bisnis Sriwijaya
Publisher : Program Studi Magister Manajemen FE Unsri

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (575.323 KB) | DOI: 10.29259/jmbs.v7i13.8000

Abstract

Many models of market balance has created by some researchers, one of this is CAPM Model, as the model to measure the market efficiency. The utilization of this model also enables to explain the role of information from public and private and valuable to advantage strategy in investation decision. In CAPM the use of index number as proxy of market information is an important issue. The index number also became a problem if they are not reflected all the market information, because the imbalance of the liquidity of stocks in the market.This research tries to test weather there is or not the cointegration under Index Mover Stock and the Composite Stock Index in ISE. If the IMS only consist of the small number of conyegration stock in CSI, it’s indicate the market information stil not reflected the whole information the public information, and the movement of the public information is  influence by the private information, as vice versa.The results indicate the significant cointegration between IMS and CSI, means market information as public still not reflected the the whole available information. It is indicate JSE market still in the Weak Form Efficient Market. This research implicate it is need to be aware in the use of market index in testing the CAPM model (beta score) as proxy as the performance measurement or expected return prediction of individual stock in JSE in Weak Form Efficient Market condition is against the CAPM assumption itself.Keywords: Cointegrated, Composite Index.
Co-Authors Ahmad Maulana AK, Syamsurijal Alman Hudri Antonius W Nugroho At Thahirah Putri Lestari Atika Yuliani Saputri Azhimi Azhimi Badia Perizade Badiah Perizade Bobby Arianto Charaka M Nandatama Faisal Roni Fida Muthia Fida Muthia Firdaus Firdaus Gayuh Raditya Perdana H.M. Rasyid Umrie, H.M. Rasyid Isnurhadi Isnurhadi Isnurhadi Isnurhadi Kemas Muhammad Husni Thamrin Marlina Widiyanti, Marlina Moh. Adam Mohamad Adam Mohamad Adam Mohamad Adam Muchsin Saggaf Shihab Parama Santati Putri Rahmi Mardius REZA GHASARMAN, REZA Roodyn Noor Muktamar Rudy Noor Muktamar Samadi W Bakar Shelfi Malinda Syapril Junaidi Taufik . Tien Yus Tini Utami, Dinarossi Veronica Varbi Vieronica Varbi Sununianti Vika Diwinta Aulia Welly Nailis Yulia Hamdaini Yulia Hamdaini Putri Yulia Saftiana Yuliani . Yuliani Yuliani Zakaria Wahab Zakaria Wahab Zastya Esfarenza Zunaidah Zunaidah