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- W4377193153 abstract "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." @default.
- W4377193153 created "2023-05-22" @default.
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- W4377193153 date "2023-04-01" @default.
- W4377193153 modified "2023-09-23" @default.
- W4377193153 title "The Random Walk and Systematic Risk in Indonesia" @default.
- W4377193153 doi "https://doi.org/10.32602/jafas.2023.020" @default.
- W4377193153 hasPublicationYear "2023" @default.
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