REAKSI PASAR SEBELUM DAN SESUDAH PUBLIKASI LAPORAN KEUANGAN PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BEI PERIODE 2004-2006

RAHMAN, HERVI ANDITA (2008)

Masters thesis, program Pascasarjana Universitas Diponegoro.

Abstract

Efficient market hypothesis argues that share prices reflect all information in capital market. This means that decision made by investors, are reaction over information they get. Published financial statements consist of certain information of company. This research is intended to analysis market reaction on publication of financial information by examining the differences of stock return, abnormal return and trading volume between 3 days before trading and 3 days after trading. This research used 20 banking firms as sample and all data were gathered from ICMD and financial statement published by the company. For analysis this research used T-paired test to examine such differences. Result of this research indicate that all variable showed that there were no differences in abnormal return and trading volume 3 day before and 3day after publication in financial statement. This mean that investors did not react to information published in financial statement.

Hipotesis pasar efesiensi menyatakan bahwa harga saham merifleksikan semua informasi yang ada di pasar modal. Dengan kata lain, keputusan investasi yang diambil investor merupakan sebuah reaksi atas informasi yang mereka terima. Laporan keuangan yang dipublikasikan berisi informasi yang spesifik tentang perusahaan. Penelitian ini bertujuan menganalisis perbedaan rata-rata return saham, abnormal return dan volume perdagangan 3 hari sebelum dan 3 hari setelah tanggal publikasi laporan keuangan. Perusahaan perbankan yang terdaftar di Bursa Efek Jakarta periode 2004-2006. Jumlah perusahaan perbankan yang menjadi sampel pada penelitian ini adalah sebanyak 20 perusahaan perbankan.

Data yang dipergunakan dalam penelitian ini adalah data sekunder yang diperoleh dari Indonesian Capital Market Directory (ICMD) serta laporan keuangan yang dipublikasi oleh perusahaan sampel. Uji t Paired Test juga dilakukan untuk mengetahui apakah terdapat perbedaan reaksi investor dengan adanya sebelum publikasi laporan keuangan dan sesudah publikasi laporan keuangan yang dilihat dari return saham, abnormal return dan volume perdagangan

Hasil penelitian ini menunjukkan bahwa tidak ada perbedaan pada abnormal return dan volume perdagangan dari 3 hari sebelum dan 3 hari sesudah publikasi laporan keuangan. Hal ini berarti bahwa investor tidak bereaksi terhadap informasi yang dipublikasikan pada laporan keuangan.

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Hubungan Pengumuman Dividen Meningkat Dengan Reaksi Pasar Modal Pada Perusahaan Manufaktur yang go public di BEJ: Pengujian Efisiensi Pasar Bentuk Setengah Kuat Secara Keputusan

Judul :	Hubungan Pengumuman Dividen Meningkat Dengan Reaksi Pasar Modal Pada Perusahaan Manufaktur yang go public di BEJ: Pengujian Efisiensi Pasar Bentuk Setengah Kuat Secara Keputusan
Pengarang :	Agung Winarno
Sumber :	Jurnal ekonomi dan manajemen
Penerbit :	Sekolah Tinggi Ilmu Ekonomi Haji Agus Salim
Tahun Terbit Artikel:	2006
Volume :	7
No :	1
Halaman :	117-127
Kata Kunci :	Dividens; Capital markets; Manufacturing industries; Going public (securities)
Abstrak :	This Research aims to recognize (1) market reaction on increasing dividend announcement by manufacture company entirely; (2) market reaction on increasing dividend announcement by manufacture company that developed; and (3) market reaction on increasing dividend announcement by manufacture company that did not develop on 2000-2004. The sample in the research includes 36 companies divided into two sub-samples, 23 developed companies and 13 grown undeveloped Companies. The method used in the research is event study, a study that is learning how a market reacts on an event that the information published as an announcement. Hypothesis testing uses t-test. The result from increasing dividend announcement shows that market did not react positively and insignificant, means that the increasing dividend announcement has nothing information for investors. The hypothesis testing on increasing dividend announcement of developed companies shows insignificant result which means that the market did not react positively. On the other hand, the hypothesis testing on increasing dividend announcement by undeveloped companies shows that the market did not react negatively. This is indicated from insignificant abnormal return cumulative.
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The Impact of New Information Regime on the Jakarta Stock Exchange

International Research Journal of Finance and Economics

ISSN 1450-2887 Issue 33 (2009)

й EuroJournals Publishing, Inc. 2009

http://www.eurojournals.com/finance.htm

Nelmida

PhD Student at Graduate School of Management Universiti Putra Malaysia and Lecturer in the Department of Management Faculty of Economics, University Bung Hatta in West Sumatra, Indonesia Annuar Md.

Nassir

Department of Accounting and Finance Faculty of Economics and Management Universiti Putra Malaysia

Taufiq Hassan

Department of Accounting and Finance Faculty of Economics and Management Universiti Putra Malaysia

Abstract

Stock market efficiency is an important concept, especially in understanding the working of the stock markets particularly in emerging stock market such as Indonesia. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for international equity investments. This study provides empirical evidence on the impact of new information regime on the efficiency of the Jakarta Stock Exchange by using weak-form efficiency test. This study uses data from the returns series of the Composite Index and selected individual companies before regulation changes from 1991 to 1995 and after regulation changes from 1996 to 2004. This paper employs the BDS test, which is widely used to distinguish random independent and identically distributed error terms. Three variants of BDS were performed to evaluate weak-form efficiency namely: (i) the normalized BDS test, (ii) the BDS test under ARMA and (iii) the BDS test under EGARCH. The findings indicate that in general and with exceptions the null hypothesis of independent and identically distributed (iid) error term is not rejected and insignificant at the 5% level on the Composite Index and individual companies before and after regulation changes and more prominent after the imposition of the new information regime. The results suggest that it is difficult to reject the random walk hypotheses for most of the return series after the regulatory reform. This result confirms that the market is weak-form efficient, except for daily and weekly returns before regulation changes and except for daily return after regulation changes. The results also implied that the new information regime have impacted on the Jakarta Stock Exchange by making it becoming more efficient.

Keywords: Weak-form EMH, the Jakarta Stock Exchanges, BDS Test, information regime.

JEL Classifications Codes: G10, G14, and G18. 1.

Introduction

Stock market efficiency is an important concept for understanding the working of the capital markets particularly in emerging stock market such as Indonesia. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for the international equity investments. There is enough evidence concerning the validity of the weak-form efficient market hypothesis (EMH) with respect to developed and emerging stock markets of the world. The weak-form of the EMH postulates that successive one-period stock returns are independent and identically distributed (iid). This paper attempts to investigate the impact of new information regime on the Jakarta Stock Exchange by using the BDS weak-form efficiency test. This paper used three different models of the BDS test namely the normalized BDS tests, theBDS test under ARMA and the BDS test under EGARCH as proposed by Brock et al. (1987) and Nelson (1991).This rest of the paper is organized as follows. Section 2 overviews the efficiency evidence on the Indonesia market while section 3 describes the data collection procedure and methodology. Section4 discusses the findings and section 5 concludes the paper. 2. Review of literature Relatively few evidences were available evaluating the efficiency of the Jakarta Stock Exchange. Suad (1987) and Rusiti (1990) found that the market is fairly efficient in the weak sense. However, Suad (1990), Balsius (1993) and Agus (1995) found that the sufficient conditions for weak form of efficiency were not satisfied. Further, Suad (1990) also investigated the semi strong form efficiency using earnings, additional issues, and new issues announcements. The general findings indicate that market is notefficient in semi-strong form. Further studies by Rusiti (1990), Muhammad (1993), Agus (1995),Mutamimah (1995), Untung, and Sidharta (1998) substantiated the findings of Fuad (1990). Endang(2000) found that the share price response to bond announcements produces an average excess return significantly different from zero while Eka (2000) found that the average abnormal return is significantly positive at pre-announcement date of merger and acquisitions. In summary all the evidence leads to the conclusion that the Indonesian stock market is generally inefficient.

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Investment Strategies Evaluation

Vladimir Patras

Master of Business Administration Dissertation

Nottingham Business School of Nottingham Trent University

May 2008

Abstract

Efficient Markets Hypothesis has been recently more often challenged on base of the empirical evidence which was suggested not be consistent with the theory such as excess volatility, market seasonalities, autocorrelation and predictability of equity returns. There is still ongoing discussion on relevancy and interpretation of these phenomenons and its consequences in investment strategy. This work link empirical data gathered from equity markets to equity markets theory and investment strategy framework. Importance of the work lies in providing guidance to investors on capital allocation on equity markets.

Utility of three investment strategies was evaluated in this work which were buy&hold (index), contrarian and momentum. Research is focused on research of mutual funds and custom portfolios in regard to their returns and investment strategy. In mutual funds research the funds were categorized on base of their investment strategy and performance parameters were evaluated to generalize which strategies provided the best results. In research of stock returns three portfolios were constructed and returns analyzed in search for mean reversion and autocorrelation patterrns. Using automation of some calculations provided by VBA programming language enabled processing of large data sets for more than 70 stock with daily trading data mostly back to 1990.

Research output suggests superiority of buy&hold strategy which is linked to Effcient Market Hypothesis. Buy&hold was shown to produce best risk-adjusted returns. This apply to both mutual funds and stock portfolios returns. Some less common patterns were observed in stock portfolios and possible explanation suggested within Efficient Markets Hypothesis framework.

Introduction

Since establishment of the first modern stock exchange in Amsterdam in 1602 investors and speculators have formulated various investment strategies aimed to maximize investment returns. While many of them had not been proven to be workable failures and successes led to increase of understanding of how equity markets operate. Effort of traders had later been joined by academics and led to establishment of new disciplines within financial economics such as portfolio, risk management. Since then stock markets has emerged as leading institutions mediating capital allocation and risen to the most prominent place in advanced economies.

In financial economics there is ongoing discussion on efficiency of equity markets. This issue has principle importance in economic science as it relates to rational expectations theory which is one of backbones of modern economy science. Nonetheless are practical implications as market efficiency form has direct consequences in acceptance of a investment strategy.

Today still mainstream view explaining equity markets behavior is Efficient Markets Hypothesis (EMH) contributed by many authors and rising to prominence in 1960s. EMH states that equity markets operate with high degree of efficiency. At each point of time all securities of the same risk are priced to offer the same expected rate of return. This imply that under high market efficiency it is not possible to earn risk unadjusted returns. Maximal possible returns are defined by risk and this relationship constitutes efficient frontier suggested by Markowitz in his Portfolio Theory. EMH is backed by sophisticated mathematical models and great amount of evidence from equity markets trading.

However, some empirical evidence is suggested not be consistent with efficient markets. On the other hand also most of EMH authors admit that absolutely efficient markets can exist only in academic theory. On this bases EMH has been challenged by theories that deal with EMH weaknesses. One of most prominent recently emerging financial school is Behavioral Finance that compiles evidence of both economics and human psychology to explain some phenomenons that it suggests cannot be explained by EMH.

These theories are closely related to investment strategies as they deal with risk-return relationship and predictability of returns what are primary points of focus in investing. Most common investment strategies applied in nowadays portfolio management – buy&hold, momentum and contrarian have justification in the mentioned theories. Buy&hold (and its index modification) is relatively low risk approach most consistent with EMH and often claimed to provide the best risk adjusted results. Momentum strategy is approach the most often practiced by current portfolio managers. There are some indications that momentum provides higher returns but at expense of much higher risk. Contrarian strategy is especially popular among some Behavioral Finance proponents although some authors suggested that it may be consistent with EMH as well.

This theoretical framework and the three investment investment strategies are used as theme of this work. Its aims are practically oriented with outcomes applicable in portfolio management. Using more analyses and research cases utility of the investment strategies are evaluated on basis of their risk adjusted returns. The work focus on comparison of index investing and mean reversion research as mean reversion is unifying idea of momentum and contrarian strategies. Empirical data are analyzed and plotted against trends expected on base equity market theories or corresponding investment strategies. Specific target or research question of this work is to answer which investment strategy is best fitting given market circumstances. This work does not have ambition to evaluate overall efficiency of equity markets although empirical evidence will always play important role in formulating theories on equity markets functioning.

Analyses which were searching evidence of utility of the investment strategies were evaluation of mutual funds performance, analysis of mutual funds on base of their investment strategy, construction and evaluation of portfolios expected to produce mean reversion patterns in their returns. Returns analysis is coupled with risk analysis where appropriate.

In analyses of mutual funds performance sample consisting of 63 mutual funds with substantial assets was chosen. Their results were categorized and statistically evaluated. Valuation and size were bases for categorization using Morningstar methodology. Funds of the sample which do not fully fit given categories were further evaluated on base of their value and portfolio measures. Data tracking up to 10 years was used where available. In line with EMH returns should follow primarily by investment risk. There is also focus on index funds and their assumed ability to over perform actively managed funds in long term in the analysis. More of observed measures are correlated one against other in search for returns determinants.

The second scope is evidence for investment strategies utility from stock portfolios. Tests are conducted on three portfolios They are derived from current composition of Dow Jones Industrial Average, Nasdaq 100 index and the third portfolio is not bounded to any index. Most calculations were performed using VBA (Visual Basic for Applications) programming language. Patterns that are assumed to point to mean reversion if present were analyzed and are summarized in presented tables. One year and two year periods were used for the calculations. Using more than one time frame is justified by claims of some authors that mean reversion presents differently depending on time series observed. Portfolios used track data back to 1990 were available. Time end point for the analyses is January 2008. Presence of mean reversion would favor momentum and/or contrarian strategies over buy&hold. Otherwise returns distribution corresponding to expected volatility is pointing to market efficiency and superiority of index investing.

Answers to research questions as they are possible to be generalized from the analyses outputs point to buy&hold as most efficient investment strategy. In this connection research limitations should be recognized. Data credibility depends on its sources – mostly Yahoo! Finance and Morningstar. However, these providers are accepted as trustworthy by financial professionals. Data availability may be considered as restriction as incomplete portfolios from older time series (mostly in Nasdaq index) complicates determination of deciles structure of the portfolio. This is reason why sections where complete data are not present are not plotted one against another for comparison. Reason why data for some companies in Nasdaq 100 index are not available is their IPO after 1990. Also scope of the research is less complex compared to published works. Larger funds sample, more portfolios included would provide results with higher statistical power.

Restriction that is not within scope of the work methodology is based on assumption that overall market efficiency may change over time. It is generally accepted that stock markets operate now more efficiently then few decades ago. Market understanding, technologies facilitating market research and higher number of analysts are accounted for the change. As mean reversion is in some contexts related to market inefficiencies its effect may diminish in future as suggested in case of some other market anomalies. Therefore future utility of findings of this research are dependent also on future market circumstances.

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