Market Efficiency Hypothesis On Regular and Block Trades

Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2007
Volume :	7
No :	1
Halaman :	1-17
Kata Kunci :	Markets; Efficiency; Block trading; Stock prices
Abstrak :	This study aims at exploring the extent of market efficiency on spesific trade, especially regular and block trades. It is based on the assumption that traders involved in those markets are different, mainly in terms of the information acquisition and information processing. Their ability to process public into private information may give an opportunity to beat the market. Informed traders are concerned with and able to predict the expected market returns. This study employs both uni and bi-directional models. This study applies autoregressive conditional heteroskedasticity (EGARCH) to capture the asymatric behavior of investors toward information. Using Indonesiau Stock Market (previously Jakarta Stock Market) as the study indicates some differences in the efficiency and investors behavior toward information.
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