ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA

<p><strong>ABSTRACT</strong></p> <p><strong> </strong></p> <p>Reverse mean reversion and predictability of stock return is probably the most well researched topic in the empirical research of financial economics. Numerous empirical studies have b...

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Main Authors: Aster Indah Widowati, Atim - Djazuli, M. Syafi’ie - Idrus
Format: Article
Language:English
Published: Universitas Brawijaya 2012-05-01
Series:Wacana: Jurnal Sosial dan Humaniora
Online Access:http://wacana.ub.ac.id/index.php/wacana/article/view/147
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spelling doaj-bca7bd96ed37438d9c2887578da3dd982020-11-24T22:41:56ZengUniversitas BrawijayaWacana: Jurnal Sosial dan Humaniora1411-01992338-18842012-05-01123539554117ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTAAster Indah Widowati0Atim - Djazuli1M. Syafi’ie - Idrus2Mahasiswa Program Magister Manajemen, PPSUBDosen Jurusan Manajemen, Fakultas Ekonomi UBDosen Jurusan Manajemen, Fakultas Ekonomi UB<p><strong>ABSTRACT</strong></p> <p><strong> </strong></p> <p>Reverse mean reversion and predictability of stock return is probably the most well researched topic in the empirical research of financial economics. Numerous empirical studies have been unable to reject the hypothesis that return unpredictable and that stock price follows a random walk or martingale process. The essence of the mean-reversion hypothesis is that the stocks price contains a temporary component. Thus, the market value of stock deviates from the fundamental value but will revert to its mean.</p> <p>The objective of this study is to test the mean reversion hypothesis in Indonesian capital market, by investigate the size and significance of mean reversion component of stock prices at the Jakarta Stock Exchange, for the period of January 1990 through December 2003, and to investigate the size of the forecast error variance decomposition for real stock prices which is caused by permanent innovation and temporary innovation for a horizon of 2, 3, 4, 6, 12 and 24 months.</p> <p>By placing appropriate structural restrictions on a vector auto-regressive system estimated for the period of January 1990 through December 2003, it was found that the temporary component in the stock prices at the Jakarta Stock Exchange has significant size. From this, it can be inferred that the pattern of share price movements at the Jakarta Stock Exchange has a temporary component which will gradually disperse or undergo reverse mean. This evidence supports the mean reversion hypothesis that stock price are not pure random walks and predictability of stock return and reject the random walk hypothesis.</p> <p> </p> <p>Keywords: stock price, capital market</p>http://wacana.ub.ac.id/index.php/wacana/article/view/147
collection DOAJ
language English
format Article
sources DOAJ
author Aster Indah Widowati
Atim - Djazuli
M. Syafi’ie - Idrus
spellingShingle Aster Indah Widowati
Atim - Djazuli
M. Syafi’ie - Idrus
ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
Wacana: Jurnal Sosial dan Humaniora
author_facet Aster Indah Widowati
Atim - Djazuli
M. Syafi’ie - Idrus
author_sort Aster Indah Widowati
title ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
title_short ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
title_full ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
title_fullStr ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
title_full_unstemmed ANALISIS KOMPONEN REVERSE MEAN PADA HARGA SAHAM MELALUI PERSPEKTIF EKONOMI MAKRO DI BURSA EFEK JAKARTA
title_sort analisis komponen reverse mean pada harga saham melalui perspektif ekonomi makro di bursa efek jakarta
publisher Universitas Brawijaya
series Wacana: Jurnal Sosial dan Humaniora
issn 1411-0199
2338-1884
publishDate 2012-05-01
description <p><strong>ABSTRACT</strong></p> <p><strong> </strong></p> <p>Reverse mean reversion and predictability of stock return is probably the most well researched topic in the empirical research of financial economics. Numerous empirical studies have been unable to reject the hypothesis that return unpredictable and that stock price follows a random walk or martingale process. The essence of the mean-reversion hypothesis is that the stocks price contains a temporary component. Thus, the market value of stock deviates from the fundamental value but will revert to its mean.</p> <p>The objective of this study is to test the mean reversion hypothesis in Indonesian capital market, by investigate the size and significance of mean reversion component of stock prices at the Jakarta Stock Exchange, for the period of January 1990 through December 2003, and to investigate the size of the forecast error variance decomposition for real stock prices which is caused by permanent innovation and temporary innovation for a horizon of 2, 3, 4, 6, 12 and 24 months.</p> <p>By placing appropriate structural restrictions on a vector auto-regressive system estimated for the period of January 1990 through December 2003, it was found that the temporary component in the stock prices at the Jakarta Stock Exchange has significant size. From this, it can be inferred that the pattern of share price movements at the Jakarta Stock Exchange has a temporary component which will gradually disperse or undergo reverse mean. This evidence supports the mean reversion hypothesis that stock price are not pure random walks and predictability of stock return and reject the random walk hypothesis.</p> <p> </p> <p>Keywords: stock price, capital market</p>
url http://wacana.ub.ac.id/index.php/wacana/article/view/147
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