- Title
- Development of the Jakarta Stock Exchange
- Creator
- Manurung, Adler
- Relation
- University of Newcastle Research Higher Degree Thesis
- Resource Type
- thesis
- Date
- 1994
- Description
- Masters Research - Master of Philosophy (MPhil)
- Description
- Rates of returns, volatility, market efficiency of individuals stocks and portfolios have been extensively discussed and documented in developed stock markets; for instance, the New York Stock Exchange and the London Stock Exchange. This study examines rates of return, distribution of stock returns, tests of market efficiency and the Capital Asset Pricing Model (CAPM), estimates of volatility and the relationship between the risk premium and volatility on the Jakarta Stock Exchange (JSX). This study also examines asset allocation on the JSX by using Jardine Industry Indexes, and Call and Put prices by using the Black-Scholes Model. The results of this study reported here are quite similar in some respects to those of previous research in other markets; sample stock returns mostly failed tests for normality of their distributions. Nonparametric methods were then used to estimate volatility, the market model, coefficients of correlation among stocks, etc. The pattern of market adjusted returns identified in semi-strong efficiency tests in this study deviates from that reported in earlier studies on developed markets, and provides a basis for further work to identify the disclosure practices which might help in understanding these results. This research reported here found that in cross-sectional regressions of average returns and betas for the JSX the results are inconsistent with the CAPM. Book value, foreign share availability and company size were also tested as explanatory variables of average stock returns in a cross-sectional regression and were found to have coefficients which were not significantly different from zero. Jardine Industry Indexes were used to study asset allocation on the JSX. The results of this study are similar to those of previous research in that coefficients of correlation changed over time and changed optimal asset allocation. Derivatives securities do not currently trade on the JSX. The descriptive results of this record have estimate volatility and Call and Put Prices. The estimated (at-the-money) Put and Call values are mostly less than 10% of the current share price. Few stocks would satisfy internationally recognised criteria to trade in options.
- Subject
- stock exchange; Jakarta; returns; portfolios; market efficiency
- Identifier
- http://hdl.handle.net/1959.13/1312403
- Identifier
- uon:22379
- Rights
- Copyright 1994 Adler Manurung
- Language
- eng
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