Weak Form Market Efficiency of Structured Warrants in Indonesia Stock Exchange

Mu’amar Andi Karunianto, Robiyanto Robiyanto

Abstract


Research on the Efficient Market Hypothesis has been widespread, but few studies have examined market efficiency in other financial markets such as structured warrants recently issued by the Indonesia Stock Exchange. This study is devoted to examining the market efficiency in the weak form of structured warrants using 13 structured warrants listed on the Indonesia Stock Exchange. This study aims to analyze the weak efficiency of structured warrants. The data used in this study is the daily closing price data of structured warrants that have been listed on the stock exchange for more than 3 months at the time of this research on March 18, 2023. This data was obtained from RHB Warrant. The analytical tools used are Runs Test, followed by Unit Root Test and Correlogram for Robustness Checking. The result of this study is that structured warrants are efficient in weak form. This indicates that the price of structured warrants is a random walk; therefore, technical analysis cannot be applied to predict the price of structured warrants. The results of this study suggest that traders or investors of structured warrants in trading structured warrants on the Indonesian stock exchange do not use technical analysis.

Keywords: Indonesia Stock Exchange; Structured Warrants; Market Efficiency; Runs Test; Weak Form.


Full Text:

PDF

References


Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486

Hersugondo, H., Robiyanto, R., Wahyudi, S., & Irene, R. D. P. (2016). The test of day of the week effect and turn-of-month effect by using a garch approach: Evidence from Indonesia capital market. International Journal of Economic Research, 13(1), 153–163. https://eprints2.undip.ac.id/id/eprint/3090/

IDX. (2022). Waran Terstruktur. https://www.idx.co.id/id/produk/structured-warrant-sw/

Juta Hase, G., & Asandimitra Haryono, N. (2018). Pengujian Efisiensi Pasar Pada Pasar Modal Indonesia Periode Juni 2009 - Juni 2015 (Studi Pada Indeks Harga Saham Gabungan). Jurnal Ilmu Manajemen (JIM), 6(4), 550–558. https://ejournal.unesa.ac.id/index.php/jim/article/view/24830

Khan, N. U., & Khan, S. (2016). Weak Form of Efficient Market Hypothesis – Evidence from Pakistan. Business & Economic Review, 8(Special Edition), 1–18. https://doi.org/10.22547/ber/8.se.1

Lekhal, M., & El Oubani, A. (2020). Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7), e04429. https://doi.org/10.1016/j.heliyon.2020.e04429

Muhammad, T. T., & Rahim, S. (2015). Pengaruh Tingkat Likuiditas dan Profitabilitas Terhadap Harga Saham Pada Perusahaan Manufaktur Yang Terdaftar di Bursa Efek Indonesia (BEI). Jurnal Akuntansi Aktual, 3(2), 117–126. http://journal2.um.ac.id/index.php/jaa/article/view/7171

Murad Samsudin, N. I., Mohamad, A., Sifat, I. M., & Hamid, Z. (2022). Predictive power of implied volatility of structured call warrants: Evidence from Singapore. International Journal of Finance and Economics, 27(4), 4412–4430. https://doi.org/10.1002/ijfe.2379

Onwukwe, E. K., & Ali, P. I. (2018). Weak Form Efficiency of the Insurance Industry: Empirical Evidence from Nigeria. Jurnal Keuangan Dan Perbankan, 22(1), 14–22. https://doi.org/10.26905/jkdp.v22i1.1800

Pulungan, D. P., Wahyudi, S., & Suharnomo, S. (2018). Does The Crude Palm Oil Market Walk Randomly? Jurnal Keuangan Dan Perbankan, 22(2), 211–218. https://doi.org/10.26905/jkdp.v22i2.2023

Qoyum, A., Mardiya, M., & Sakti, M. R. P. (2018). Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional. Shirkah: Journal of Economics and Business, 2(3). https://doi.org/10.22515/shirkah.v2i3.171

RHB Sekuritas. (2022). Pemahaman Waran Terstruktur. https://waran.rhbtradesmart.co.id/id/LearnWarrants

Robiyanto, Hersugondo, & Puryandani, S. (2015). Chinese zodiac effect and precious metals returns of 1900-2013. International Journal of Applied Business and Economic Research, 13(5), 2759–2773. https://ssrn.com/abstract=2721291

Robiyanto, R. (2017). Month of the Year Effect pada Pasar Obligasi di Indonesia. Jurnal Ekonomi Dan Bisnis, 20(2), 291. https://doi.org/10.24914/jeb.v20i2.1093

Yadirichukwu, E., & Ogochukwu, O. J. (2014). Evaluation of The Weak Form of Efficient Market Hypothesis: Empirical Evidence From Nigeria. International Journal of Development and Sustainability, 3(5), 1199–1244. www.isdsnet.com/ijds


Refbacks

  • There are currently no refbacks.