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Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020

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  • Cheng-Wen Lee
  • Taufiqquddin Ande

Abstract

This study aims to examine the efficiency of the weak form market in the pharmaceutical and telecommunications sectors in the Indonesian capital market during the 2017-2020 period (1 January 2017 – 30 December 2020) and the 2020 Covid-19 period (1 January 2020 – 30 December 2020). The data used in this study is daily stock closing prices. Jarque-Bera normality test, Ljung Box autocorrelation test to assess serial dependencies, run test, and Augmented Dickey Fuller (ADF) to test the random walk hypothesis were among the statistical tests utilized. The pharmaceutical and telecommunications sectors were in poor shape during the research period, according to the findings. This research offers guidance to potential funders as well as future researchers.  JEL classification numbers: G14, G19.

Suggested Citation

  • Cheng-Wen Lee & Taufiqquddin Ande, 2022. "Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-9.
    • Handle: RePEc:spt:apfiba:v:12:y:2022:i:6:f:12_6_9
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    References listed on IDEAS

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    1. Priyanka Jain & Vishal Vyas & Ankur Roy, 2013. "A study on weak form of market efficiency during the period of global financial crisis in the form of random walk on Indian capital market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 10(1), pages 122-138, May.
    2. Paul Ndubuisi & Kingsley Okere, 2018. "Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016)," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 6(2), pages 147-156, June.
    3. Priyanka Jain & Vishal Vyas & Ankur Roy, 2013. "A study on weak form of market efficiency during the period of global financial crisis in the form of random walk on Indian capital market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 10(1), pages 122-138, May.
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    5. Paul Ndubuisi & Kingsley Okere, 2018. "Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016)," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 6(2), pages 147-156.
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    Cited by:

    1. Awaz Mohamed Saleem & Hazheen Mardan Mustafa & Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2023. "Regional Stock Market Efficiency at Weak Form after the Covid-19 Vaccination Approval," International Journal of Economics and Financial Issues, Econjournals, vol. 13(6), pages 63-70, November.

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    More about this item

    Keywords

    Efficient Market Hypothesis; Random Walk Hypothesis; Covid-19.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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