Sugeng Wahyudi

Does The Crude Palm Oil Market Walk Randomly

Study about the efficiency of the capital market has been extensively conducted, but it is still lack of research on the efficiency of other financial markets such as commodity markets. This study specifically examines market efficiency in a weak form in a commodity market, especially in the crude palm oil (CPO) market. The purpose of this research is to analyze the weak form efficiency of the CPO market. Data used in this research is monthly CPO closing price data in 2010-2017 from Bursa Malaysia Derivative Exchange (BMD). This data was obtained from the Malaysian Palm Oil Council (MPOC). The analysis tool used is Runs Test, following by Unit Root Test and Correlogram as robustness checking. The result of this study shows that the CPO market is being efficient in a weak form. This shows that CPO price walks randomly so that the technical analysis cannot be applied to predict the CPO price. The result of this study suggests to both of CPO traders, and CPO speculators in their transaction on BMD do not rely on technical analysis. JEL Classifications: G14; Q02 DOI: https://doi.org/10.26905/jkdp.v22i2.2023

Applying an international CAPM to herding behaviour model for integrated stock markets

Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets’ movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China Received: September, 2017 1st Revision: October, 2017 Accepted: November, 2017 DOI: 10.14254/20718330.2017/10-4/3 Journal of International Studies S ci en ti fi c P a pe rs