Path: Top Journal Jurnal_Keuangan_dan_Perbankan 2007

Perilaku investor dalam merespon informasi pasar modal: pengujian teori pasar modal efisien ( Model konfirmatori: pengujian model fama dengan model persepsi)

Jurnal Keuangan dan Perbankan, Tahun XI, Nomor 2, Mei 2007
Journal from JIPTUNMERPP / 2008-11-09 20:32:27
Oleh : Harmono, Diploma 3 of Finance and Banking Merdeka University Malang (jurkeubank@telkom.net)
Dibuat : 2007-05-01, dengan 0 file

Keyword : Confirmatory model, perception model, efficiency market hypothesis

This research reviewed the theoretical and empirical literatures on the efficient markets model. After a discussion of the theory, empirical work that concerned the adjustment of security price s to three relevant information tests were considered. First, weak form test, in which the information about historical prices was discussed. Second, semi-strong form test, in which the concern was whether prices efficiently adjusted to other information that was obviously publicly available. Third, strong form test, in which the information about investors or groups that had mono[polistic access to any relevant information about prices formation included private information was discussed. The new finding model in this research was combining secondary data based on efficient market frame. The major finding of this research was based on test of efficient market, which concerned historical prices information that discussed about the condition of capital market in Indonesia that was in weak form, and semi-strong form. After cross-cheking with survey research model, the resuly was consistent with efficient test based on secondary data. The concurrent finding with factor analysis indicated that the conceptual framework of Fama model was established and the construct of instrument gave evidence, the claim theory between CAPM and fundamental macro factor were mutually exclusive. In coclusion, when there were dominant fundamental factors of the firm macroeconomic fundamentals, it would not be a significant response to the market price information.

Deskripsi Alternatif :

This research reviewed the theoretical and empirical literatures on the efficient markets model. After a discussion of the theory, empirical work that concerned the adjustment of security price s to three relevant information tests were considered. First, weak form test, in which the information about historical prices was discussed. Second, semi-strong form test, in which the concern was whether prices efficiently adjusted to other information that was obviously publicly available. Third, strong form test, in which the information about investors or groups that had mono[polistic access to any relevant information about prices formation included private information was discussed. The new finding model in this research was combining secondary data based on efficient market frame. The major finding of this research was based on test of efficient market, which concerned historical prices information that discussed about the condition of capital market in Indonesia that was in weak form, and semi-strong form. After cross-cheking with survey research model, the resuly was consistent with efficient test based on secondary data. The concurrent finding with factor analysis indicated that the conceptual framework of Fama model was established and the construct of instrument gave evidence, the claim theory between CAPM and fundamental macro factor were mutually exclusive. In coclusion, when there were dominant fundamental factors of the firm macroeconomic fundamentals, it would not be a significant response to the market price information.

Copyrights : Copyright (c) 2008 by Digital Library Universitas Merdeka Malang. Verbatim copying and distribution of this entire article is permitted by author in any medium, provided this notice is preserved.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiDiploma 3 of Finance and Banking Merdeka University Malang
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.