DETERMINANT OF MARKET EFFICIENCY IN SHORT HORIZON DATA (STUDY ON NON-FINANCIAL COMPANIES LISTED AT KOMPAS 100 INDEX IN OCTOBER 2017- MARCH 2018)

Abstract

Market efficiency has become an important research since the emergence of efficient market hypothesis by Fama in 1970. Indonesia researchers has done so many research in accordance of market efficiency, but almost all of them are focused on long term efficiencies and not many of them are try to determine the factors or variable that has the most impact on market efficiency in Indonesia. Different from research that had been conducted in Indonesia, This research focused on short horizon interval and tries finding the determinant of short horizon return predictability which founded as the inverse indicator of market efficiency by Chordia in 2008 and developed by Chung and Hrazadil and other researcher in the following years. The objective of this research are to analyze the effects of Volume, Price, Volatility, Effective Spread, Price Impact to Short Horizon Return Predictability of Non-Financial Companies that listed in KOMPAS100 index on October 2017-March 2018. The population of this study were 64 Non-Financial companies which actively traded and listed in KOMPAS100 Index Indonesia. This research also used the Historical Intraday Trading data from Bloomberg over the period of October 2017- March 2018. Intraday data will provide more specific and accurate information to give a specific result. This research used the multiple linear regression in order to determine the variable which has the most affect on Short Horizon Return Predictability. The result of this research showed us some various result, from proving that the determinant factors used in this research had influence on Non-Financial Companies Short Horizon Return Predictability. But there is a factor that was not in accordance with the hypothesis that had been made. This research also find that Price Impact is the most determining variable or factors that affects Short-Horizon Return Predictability of Non-Financial Companies in Indonesia.