Does The Crude Palm Oil Market Walk Randomly?

Pulungan, Dolly Parlagutan; Wahyudi, Sugeng; Suharnomo, Suharnomo

doi:10.26905/jkdp.v22i2.2023

Cited by 2 publications

(2 citation statements)

References 16 publications

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“…Meanwhile, Abdalla (2012) conducted research on a day-to-the-week effect in the Indian capital market and concluded that there was no day-to-the-week effect. Another research on the commodity market, named the Crude Palm Oil (CPO) market, was conducted by Pulungan, Wahyudi, & Suharnomo (2018).…”

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Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market

Robiyanto

Susanto

Ernayani

2019

Jurnal Keuangan Dan Perbankan

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Cryptocurrency market is an attractive field for researchers in finance nowadays. One topic that can be studied is related to the existence of anomalies in the cryptocurrency market. This research was conducted to examine whether the cryptocurrency market, especially on Bitcoin and Litecoin, has day-of-the-week and month-of-the-year effects. The Bitcoin and Litecoin were used as objects because they were a cryptocurrency with a large market capitalization. The data used were monthly cryptocurrency returns for examining the month-of-the-year-effect and daily returns for examining the day-of-the-week-effect from 2014-2018. GARCH (1,1) analysis was done to see these effects on the cryptocurrency market. The results indicate that the phenomena of day-of-the-week and month-of-the-year effect existed in the cryptocurrency market. Therefore, the cryptocurrency market was not an efficient market. The pattern in the Bitcoin and Litecoin could later be utilized by investors. The investors should buy Bitcoin at the end of January and they should sell them at the end of February. While, for the investors who traded daily, can trade Bitcoin in Monday, Wednesday and Thursday because in these days, the Bitcoin have the potential to generate daily profits.

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confidence: 99%

Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market

Robiyanto

Susanto

Ernayani

2019

Jurnal Keuangan Dan Perbankan

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“…Most of the research only aims to determine the efficiency of the capital market, so it is necessary to carry out further studies by adding several commodities as research objects. So that this research can provide an overview of market efficiency that is broader than previous research, such as the research of Pulungan [25] which examines the market efficiency of palm oil commodities. The existence of this research is also to complement the results of Chang [5] and Charles [6] research which discusses the market efficiency of the weak form of precious metals.…”

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Weak Form Efficiency of Cryptocurrency and Precious Metal Market in the Midst of Covid-19 Pandemic

Andharini

Robiyanto

Harijono

2022

jakb

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Logam mulia dan cryptocurrency merupakan salah satu instrumen investasi yang banyak dipilih pada masa pandemi Covid-19. Terdapat tiga jenis efisiensi pasar yaitu efisiensi bentuk lemah, semi-kuat, dan kuat, hal ini diungkapkan dalam hipotesis pasar efisien yang dikemukakan oleh Fama dalam beberapa karyanya. Efisien atau tidaknya sebuah pasar dapat diketahui dari return yang didapatkan oleh para pelaku pasar, pelaku pasar akan mendapatkan return yang wajar apabila berada di dalam pasar yang efisien. Penelitian ini bertujuan untuk mengetahui apakah pasar logam mulia dan cryptocurrency efisien pada bentuk lemah. Uji run test dan Augmented Dickey-Fuller digunakan untuk mengetahui keacakan pergerakan harga (random walk). Semakin acak (random) harga maka akan semakin efisien dalam bentuk lemah. Periode yang digunakan dalam penelitian ini adalah 1 Januari 2019 sampai dengan 30 Juni 2021. Hasil dari penelitian ini adalah, harga logam mulia berjalan secara acak selama pandemi Covid-19 yang dapat diartikan pasar logam mulia efisien dalam bentuk lemah.Sedangkan hasil uji return cryptocurrency menunjukkan bahwa pasar cryptocurrency tidak efisien dalam bentuk lemah di masa pandemi Covid-19. Investor dapat memilih emas sebagai instrumen investasi di masa pandemi karena nilainya yang stabil dan dinilai lebih aman daripada cryptocurrency. Kata kunci: mata uang kripto, efisiensi bentuk lemah, random walk

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Does The Crude Palm Oil Market Walk Randomly?

Cited by 2 publications

References 16 publications

Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market

Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market

Weak Form Efficiency of Cryptocurrency and Precious Metal Market in the Midst of Covid-19 Pandemic

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