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All Journal AFEBI Economic and Finance Review Dynamic Management Journal
Sitanggang, Okta Martua
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Other

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EMPIRICAL TESTING OF FAMA-FRENCH ASSET PRICING MODEL IN INDONESIA STOCK EXCHANGE DURING COVID-19 PANDEMIC Sitanggang, Okta Martua; Rizkianto, Eko
Dynamic Management Journal Vol 8, No 1 (2024): January
Publisher : Universitas Muhammadiyah Tangerang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31000/dmj.v8i1.10106

Abstract

The volatility of the Indonesian Stock Exchange (BEI) increased significantly during the Covid-19 pandemic period. In this period return predictability and price volatility in the stock index experienced a single structural break. There is concern among investors and academics that the asset pricing approach model that has been empirically accepted so far is unable to explain the return or excess return of an asset or investment during the Covid-19 pandemic period. This research tests the significance of the size (market capitalization), profitability, value (book-to-market), investment, and market risk premium (Rm-Rf) factors on the excess return of stock portfolios on the Indonesian Stock Exchange during the Covid-19 pandemic period. Existing studies show that the Covid-19 pandemic has affected investor sentiment, causing investors to panic and be pessimistic about their investments. In addition, there were deviations from the efficient market hypothesis during several pandemic periods in several countries so that stock prices did not fully reflect the available information. After testing, it was found that the factors size (market capitalization), profitability, value (book-to-market), investment, and market risk premium (Rm-Rf) did not have a significant influence on the excess return of stock portfolios on the Indonesia Stock Exchange during the period Covid-19 pandemic.
Empirical Testing of Fama-French Asset Pricing Five Factor Model In Indonesia Stock Exchange During The Covid-19 Pandemic Period Sitanggang, Okta Martua; Rizkianto, Eko
AFEBI Economic and Finance Review Vol. 8 No. 2 (2023): December
Publisher : Asosiasi Fakultas Ekonomi dan Bisnis Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The volatility of the Indonesian Stock Exchange Composite (JKSE) increased significantly during the Covid-19 pandemic period. In this period, return predictability and price volatility in the stock index experienced a single structural break. There is concern among investors and academics that the asset pricing model that has been empirically accepted so far is unable to explain the return or excess return of an asset or investment during the Covid-19 pandemic period. This research empirically tests the significance of Fama – French Five Factor Model. The significance of factors consists of size (market capitalization), profitability, value (book-to-market), investment, and market risk premium (Rm-Rf) factors explain the excess return of stock portfolios on the Indonesian Stock Exchange during the Covid-19 pandemic period. Existing studies show that the Covid-19 pandemic has affected investor sentiment, causing investors to panic and be pessimistic about their investments. In addition, there were deviations from the efficient market hypothesis during several pandemic periods in several countries so that stock prices did not fully reflect the available information. After testing, it was found that the factors size (market capitalization), profitability, value (book-to-market), investment, and market risk premium (Rm-Rf) did not have a significant influence on the excess return of stock portfolios on the Indonesia Stock Exchange during the period Covid-19 pandemic. Keywords: asset pricing; structural break; Fama-French
Co-Authors Rizkianto, Eko