Aug 2026· The International Conference on Sustainable Economics Management and Accounting Proceeding· Vol 2, pp. 965-973· 0 citations· 9 references
Abstract
This study conducts an empirical re-evaluation of the effectiveness of technical analysis within the framework of the Efficient Market Hypothesis (EMH) in an emerging market setting. Utilizing a comprehensive two-decade daily dataset (2006–2025) of the Indonesian LQ45 Index, the research simulates a mechanical trading strategy based on 20-day and 50-day Exponential Moving Average (EMA) crossovers, contrasting its performance against a passive Buy-and-Hold (B&H) benchmark. To eliminate subjective bias and ensure methodological rigor, the analysis employs continuous log-returns and assumes a frictionless market. Statistical inference, performed using Welch's independent samples t-test, indicates no significant difference in raw returns between the active EMA strategy and the passive benchmark (p-value = 0.959), thereby strongly supporting the weak-form EMH. Notably, the study reveals a sustained negative equity risk premium over the two decades, with both equity strategies yielding lower returns (6.07% and 6.42%, respectively) than the 7.99% risk-free rate of 10-year government bonds. Despite underperforming in absolute returns, the EMA strategy demonstrates exceptional risk mitigation capabilities, drastically reducing total portfolio volatility from 23.65% to 15.39% and compressing downside deviation from 18.72% to 15.05%. Evaluated through the Modified Sharpe and Sortino ratios, these findings redefine the utility of moving averages: while technical analysis fails to maximize profit or generate anomalous returns, it functions as a highly effective portfolio insurance mechanism, capable of mitigating downside risk during market downturns.
The rapid growth of retail investors in Indonesia, from 2.48 million in 2019 to over 20 million by 2025, underscores an urgent need for empirically grounded portfolio optimization frameworks adoptable into practical tools such as robo-advisory systems. This study applies the Markowitz Mean-Variance model to construct and evaluate an optimal stock portfolio from the LQ45 index over January 2022 to December 2025, a post-pandemic period characterized by predominantly adverse risk-adjusted returns. Using daily closing price data for 27 consistently listed LQ45 stocks (958 trading days) from the Indonesia Stock Exchange (IDX), with sample consistency verified through official BEI constituent evaluation announcements, this study constitutes an ex-post empirical analysis designed to isolate the mathematical efficacy of the Mean-Variance model under adverse market conditions. The analysis encompasses individual return and risk profiling, construction of a 27x27 covariance matrix, efficient frontier derivation via constrained quadratic optimization using Microsoft Excel Solver (GRG Nonlinear), and Sharpe ratio-based performance evaluation against a risk-free rate of 5.3281% per annum (average BI Rate 2022-2025). The core finding is that 19 of 27 sample stocks (70.4%) generated negative Sharpe ratios, confirming the inadequacy of undiversified single-stock strategies in adverse markets. In contrast, the tangency portfolio achieved a Sharpe ratio that materially surpasses all 27 individual stocks, establishing that quantitative portfolio optimization delivers superior risk-adjusted outcomes precisely when markets are most challenging. These results validate the enduring relevance of Modern Portfolio Theory in Indonesia's capital market and provide a transparent, replicable framework for investors and practitioners.
Irfan Andi Pramudya, Intan Shaferi· The International Conference...· 0 citations
This study empirically examines the overreaction phenomenon in global commodity markets and its transmission to Indonesia's capital market and foreign exchange indicators, specifically the effect of crude oil and gold price overreaction—proxied through price-reversal indicators (abnormal return)—on the Abnormal Return of the Jakarta Composite Index (JCI/IHSG) and the Rupiah exchange rate. Daily time-series data over a five-year formation period (2021-2025) were analyzed using the Wilcoxon Signed-Ranks Test, Ordinary Least Squares (OLS) regression, and the Newey-West HAC Standard Errors and Covariance approach to mitigate structural heteroskedasticity. Findings demonstrate a significant overreaction phenomenon across all winner and loser portfolios for both gold and crude oil. Partial hypothesis testing shows that gold price overreaction has no significant effect on the JCI, yet exerts a negative and significant effect on the Rupiah, supporting Asset Substitution Theory and flight-to-quality behavior. Conversely, crude oil overreaction exerts a positive but marginal effect on the JCI, and a negative and significant effect on the Rupiah, validating the Balance of Payments Structure Theory given Indonesia's status as a net oil importer. Overall, global commodity overreaction transmits more responsively toward exchange-rate stability than toward domestic capital-market performance.
This study examines how fundamental and technical analysis support investment decisions in PT Bukalapak.com Tbk after its Initial Public Offering (IPO) during 2021-2025. Using a descriptive quantitative design, the study applies a top-down fundamental approach covering macroeconomic conditions, industry dynamics, and company performance measured by Current Ratio (CR), Debt to Equity Ratio (DER), and Return on Equity (ROE). Technical analysis is conducted using weekly Moving Average Convergence Divergence (MACD) signals. The data were obtained from annual reports, macroeconomic publications, stock-price history, and supporting empirical literature on technology IPOs. The findings indicate that Bukalapak has strong liquidity and low leverage, but its profitability remains weak and unstable. MACD signals show high post-IPO volatility with recurrent bearish indications. Therefore, the stock is not yet optimal for long-term investors, while short- and medium-term investors may still consider it for momentum-based strategies under strict risk control. This study contributes to post-IPO startup stock analysis in Indonesia by integrating financial fundamentals, market signals, and investment-horizon-based recommendations.
This paper examines whether the Saudi Capital Market Authority's January 2026 abolition of the Qualified Foreign Investor (QFI) framework coincided with a measurable redistribution of trading activity across listed firms in Tadawul. Using official Saudi Exchange reports, we construct a near-population panel of 267 to 269 firms observed at annual, quarterly, monthly, and daily frequencies spanning 2025 and Q1 2026. The empirical design is framed as event-based evidence around a major market-access reform rather than as a clean natural experiment. We combine cross-sectional OLS, liquidity-sorted portfolio tests, quantile regression, event-window difference-style comparisons, placebo tests, and heterogeneity analyses to trace how activity and returns evolved around the reform window.
Three findings organize the results. First, the strongest evidence concerns market activity rather than broad repricing: firms that were more liquid before the reform experienced a statistically significant relative decline in turnover and trade counts during the reform window, with the sharpest adjustment concentrated in the mid-cap segment. Second, the relation between prior liquidity and subsequent returns is heterogeneous across the conditional return distribution rather than monotonic in the mean. Third, placebo, falsification, treatment-definition, and clustering exercises all support the interpretation that the reform window coincided with a redistribution of trading attention away from previously dominant names and toward a broader cross-section of firms.
The paper contributes to the literature on capital markets, market microstructure, and market-access reforms in emerging economies by showing that liberalization may first appear in the allocation of trading activity before it appears in average-return differentials. The evidence is therefore most informative about trading-activity reallocation, while causal interpretation remains cautious because treatment is not exogenous, the transition begins before full implementation, and the post-reform horizon is short.
B. Alrawashdeh, Awni Rawashdeh, Mohammad Kamal Kamel Afaneh et al.· Journal of Intelligent Decis...· 0 citations
The efficient market hypothesis (EMH) or theory states that share prices reflect all information. The EMH hypothesizes that stocks trade at their fair market value on exchanges. Proponents of EMH posit that investors benefit from investing in a low-cost, passive portfolio. Though the efficient market hypothesis (EMH), as a whole, theorizes that the market is generally efficient, the theory is offered in three different versions: weak; semi-strong; and strong. The efficient market hypothesis holds that when new information comes into the market, it is immediately reflected in stock prices; neither technical analysis (the study of past stock prices in an attempt to predict future prices) nor fundamental analysis (the study of financial information) can help an investor. At the core of EMH is the theory that, in general, even professional traders are unable to beat the market in the long term with fundamental or technical analysis. That idea has roots in the 19th century and the "random walk" stock theory. EMH as a specific title is sometimes attributed to Eugene Fama's 1970 paper "Efficient Capital Markets: A Review of Theory and Empirical Work."
The purpose of this study is to test the weak form of an Efficient Market Hypothesis in selected Information Technology stocks which are traded in Indian Indices. Monthly closing prices of Six Information Technology companies were taken for a period of two years, starting from 1st April 2023 to 31st March 2026. The conventional tests were carried out to find whether there is any evidence of Weak Form of Market Efficiency in Indian Information Technology Stocks. The result shows that selected stocks does not follow Random Walk during the study period and it was also ascertained that Indian Information Technology Stocks belong to Semi-Strong form of Efficient Market Hypothesis (EMH) Theory.
Further in this study run test has been applied for analysis of EMH Hypothesis and Six Information technology stocks were selected for setting the Hypothesis. The results show that null hypothesis is accepted and supports the findings that Indian Information Technology stocks are in Semi-Strong form of EMH. The semi strong form of EMH states that security prices fully reflect all relevant publicly available information. The public information states not only past prices but also data reported in a company’s financial statements, company’s announcements, economic factors and others.
Dr. Venkatesh.C.K.· International journal of res...· 0 citations
This paper evaluates the macroeconomic and financial determinants of the money demand of India from 1996: Q1 to 2024: Q4. The paper utilizes the Autoregressive Distributed Lags (ARDL) bounds testing framework and an Error Correction Model (ECM) to estimate the long-run equilibrium and the short-run dynamics of monetary aggregates, narrow money (M1) and broad money (M3). The empirical findings confirm a stable, singularly cointegrated relationship between real money balances (M1, M3), real income (GDP), opportunity cost (91-Day Treasury Bill Rate), and equity wealth (BSE Sensex). Since M1’s income elasticity is 0.53 and M3’s is 0.98, the traditional transaction motives dominate both M1 and M3. The interest rate exerts a negative substitution effect on M1; however, M3 remains structurally safeguarded against short-term fluctuations. Equity market valuations exhibit statistical insignificance across all variable specifications, indicating that the equity market fluctuations do not systematically destabilize long-run money demand. The ECM results reveal a short-term adjustment speed of 17.92% and 8.37% per quarter for M1 and M3, respectively. These findings establish that M3 acts as a robust and stable measure of the Reserve Bank of India’s long-term monetary targeting, driven predominantly by the fluctuations in real fundamental macro variables.
Z. Shaikh, Rakhi Gupta, B. P. Sahoo· Econometrics· 0 citations
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