The impact of new information regime on the Jakarta stock exchange.

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...

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Main Authors:	Nelmida, ., Md. Nassir, Annuar, Hassan, Taufiq
Format:	Article
Language:	English English
Published:	EuroJournals Publishing, Inc. 2009
Subjects:	Stock exchanges - Indonesia - Jakarta. Investment analysis - Indonesia. Stock markets - Efficiency.
Online Access:	http://psasir.upm.edu.my/id/eprint/17191/ http://psasir.upm.edu.my/id/eprint/17191/1/The%20impact%20of%20new%20information%20regime%20on%20the%20Jakarta%20stock%20exchange.pdf

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author	Nelmida, . Md. Nassir, Annuar Hassan, Taufiq
author_facet	Nelmida, . Md. Nassir, Annuar Hassan, Taufiq
author_sort	Nelmida, .
building	UPM Institutional Repository
collection	Online Access
description	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.
first_indexed	2025-11-15T08:10:49Z
format	Article
id	upm-17191
institution	Universiti Putra Malaysia
institution_category	Local University
language	English English
last_indexed	2025-11-15T08:10:49Z
publishDate	2009
publisher	EuroJournals Publishing, Inc.
recordtype	eprints
repository_type	Digital Repository
spelling	upm-171912015-12-22T02:14:54Z http://psasir.upm.edu.my/id/eprint/17191/ The impact of new information regime on the Jakarta stock exchange. Nelmida, . Md. Nassir, Annuar Hassan, Taufiq 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. EuroJournals Publishing, Inc. 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17191/1/The%20impact%20of%20new%20information%20regime%20on%20the%20Jakarta%20stock%20exchange.pdf Nelmida, . and Md. Nassir, Annuar and Hassan, Taufiq (2009) The impact of new information regime on the Jakarta stock exchange. International Research Journal of Finance and Economics, 33. pp. 154-167. ISSN 1450-2887 Stock exchanges - Indonesia - Jakarta. Investment analysis - Indonesia. Stock markets - Efficiency. English
spellingShingle	Stock exchanges - Indonesia - Jakarta. Investment analysis - Indonesia. Stock markets - Efficiency. Nelmida, . Md. Nassir, Annuar Hassan, Taufiq The impact of new information regime on the Jakarta stock exchange.
title	The impact of new information regime on the Jakarta stock exchange.
title_full	The impact of new information regime on the Jakarta stock exchange.
title_fullStr	The impact of new information regime on the Jakarta stock exchange.
title_full_unstemmed	The impact of new information regime on the Jakarta stock exchange.
title_short	The impact of new information regime on the Jakarta stock exchange.
title_sort	impact of new information regime on the jakarta stock exchange.
topic	Stock exchanges - Indonesia - Jakarta. Investment analysis - Indonesia. Stock markets - Efficiency.
url	http://psasir.upm.edu.my/id/eprint/17191/ http://psasir.upm.edu.my/id/eprint/17191/1/The%20impact%20of%20new%20information%20regime%20on%20the%20Jakarta%20stock%20exchange.pdf

The impact of new information regime on the Jakarta stock exchange.

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