1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. Journal of Accounting, Finance and Auditing Studies
  6. 2023
  7. Journal of Accounting, Finance and Auditing Studies, Volume 9, Issue 2
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/109239
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dc.contributor.authorPontoh, Winston-
dc.contributor.authorBudiarso, Novi Swandari-
dc.date.accessioned2023-05-08T19:33:04Z-
dc.date.available2023-05-08T19:33:04Z-
dc.date.issued2023-04-
dc.identifier.citationPontoh, W., & Budiarso, N. S. (2023). The random walk and systematic risk in Indonesia. Journal of Accounting, Finance and Auditing Studies, 9(2), 224-235.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar/handle/123456789/109239-
dc.description.abstractPURPOSE: 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.en_GB
dc.description.abstractMETHODOLOGY: 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.en_GB
dc.description.abstractFINDINGS: 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.en_GB
dc.description.abstractORIGINALITY/VALUE: This study examines market efficiency by taking into account the systematic risk of assets that are rarely analyzed at present.en_GB
dc.language.isoenen_GB
dc.publisherIstanbul Business Academyen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectRandom walks (Mathematics)en_GB
dc.subjectRisk management -- Indonesiaen_GB
dc.subjectCOVID-19 Pandemic, 2020- -- Economic aspectsen_GB
dc.subjectEfficient market theoryen_GB
dc.subjectStocks -- Prices -- Indonesiaen_GB
dc.titleThe random walk and systematic risk in Indonesiaen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.identifier.doi10.32602/jafas.2023.020-
dc.publication.titleJournal of Accounting, Finance and Auditing Studiesen_GB
Appears in Collections:Journal of Accounting, Finance and Auditing Studies, Volume 9, Issue 2
Journal of Accounting, Finance and Auditing Studies, Volume 9, Issue 2

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