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How the Indonesia Stock Exchange reacts to information: a speed of adjustment coefficients study

This study applies the ARMA model to estimate the speed of adjustment coefficients, as suggested by Theobald and Yallup (2004), in the IDX. There is not sufficient evidence to conclude that the IDX overreacts to information. However, the findings suggest that the market either underreacts or fully adjusts to information. The IDX displays significant underreactions at weekly intervals that occur after the full adjustment. Investors? reaction is not sensitive to the size and liquidity of the indices. Size alone could not provide sufficient explanation for the different adjustment pattern across sector indices..Printed journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit .,
Edisi -
Subjek Market efficiency
Speed of adjustment
Emerging markets
Overreaction
Underreaction
ISBN/ISSN 19798997
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
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