The Random Walk and Systematic Risk in Indonesia

Purpose: During the period 2022 until January 2023, several new global issues emerged besides the COVID-19 pandemic and had an impact on economic. This study aims to examine the weak form of market efficiency in Indonesia under the assumption that uncertain economic conditions tend to affect systematic risk and cause stock returns randomly move. Methodology: This study employs time series data based on the stock returns of 766 firms in Indonesia during the period January 3, 2022, to January 31, 2023. To detect random walk, the runs test is conducted with supporting of the variance ratio test. Findings: Systematic risk plays an important role in risky assets' efficiency during uncertain economic events which is consistent with the random walk theory. Otherwise, the impact of uncertain economic events on less risky assets gives the investors possibility to obtain extraordinary returns or abnormal returns. Originality/Value: This study examines market efficiency by taking into account the systematic risk of assets that are rarely analyzed at present.

Market efficiency and global issues: A case of Indonesia

The efficient market hypothesis assumes that the stock prices fully reflect all relevant information. Under the weak form, the future prices are independent of current prices or in the other words, they follow the random walk hypothesis. Global issues tend to have an impact on capital markets around the world. Therefore, the objective of this study is to assess the effect of global issues on the movements of expected returns in the Indonesian capital market from January 1, 2022, to June 30, 2022. The sample of 755 listed firms is used to test whether the expected returns have a random pattern during the observation period. The results of runs tests and variance ratio test show that the expected return movements are not random. On those results, the weak form of the efficient market hypothesis is rejected, and it can be concluded that the capital market in Indonesia for this period is inefficient. The findings of this study imply that the information about global issues does not affect the market. The success of the Indonesian government’s strategy in dealing with global issues (including the Covid-19 pandemic) in the form of a vaccination program and also followed by excellent fiscal and monetary policies has led to more predictable returns in the capital market. Moreover, investors can set their portfolios to get extraordinary returns as the market is more predictable.

Penghitungan risiko dalam keputusan investasi pada emiten sektor konstruksi indeks Kompas 100 dengan metode capital asset pricing model dan rasio profitability setelah masa pandemic COVID-19

The risk in an investment activity is always there and it cannot be denied that these risk factors influence someone to invest. After the COVID-19 pandemic period and vaccines have been carried out so that development in Indonesia will start running again. So the CAPM (Capital Asset Pricing Model) approach in assessing a stock that is less risky to the overall market price in the Kompas100 index and the NPM (Net Profit Margin) probability ratio on stocks that are always able to generate profits every year are expected to help the public and potential investors. in making investment decisions in accordance with the risk profile.

Penilaian keputusan investasi saham dalam penerapan insentif pajak penjualan atas barang mewah (ppnbm) bagi perusahaan go public di era pandemi COVID-19 (studi kasus pada perusahaan sektor otomotif)

In the midst of the COVID-19 pandemic, investors need to see and assess the level of risk to determine investment decisions. With various government policies, especially the Sales Tax Incentive on Luxury Goods (PPn BM), we can assess and compare the level of risk and risk before the issuance of this regulation, so that investors can make the best investment decisions in the midst of the COVID-19 pandemic. The stock beta for the automotive sector was still stable when the PPn BM incentive was implemented, as shown by the calculation of the CAPM Capital Asset Pricing Model, which is mostly below 1. The impact of the COVID-19 pandemic is still felt in world investment and tends to improve over time.