Indonesian Capital Market Review
Vol. 1, No. 2

How the Indonesia Stock Exchange Reacts to Information: A Speed of Adjustment Coeficients Study

Peranginangin, Yessy (Unknown)

Article Info

Publish Date
30 Jul 2009

Abstract

This study applies the ARMA model to estimate the speed of adjustment coeficients, as suggested by Theobal and Yallup (2004), in the IDX. There is not suficient evidence to conclude that the IDX overreacts to information. However, the indings suggest that the market either underreacts or fully adjusts to information. The IDX displays signiicant underreactions at weeky 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 suficient explanation for the different adjustment pattern across sector indices.

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Journal Info
Indonesian Capital Market Review
Website

Abbrev

publication:icmr

Publisher

Universitas Indonesia

Subject

Economics, Econometrics & Finance

Description

The intent of the Editors of The Indonesian Capital Market Review is to discuss, to explore, and to disseminate the latest issues and developments in Empirical Financial Economics particularly those related to financial frictions in the Emerging Markets. The topics cover capital markets, financial ...