Price Fluctuations In Bank Shares: A Backward and Forward Looking Approach

• المؤلف الرئيسي: Perpustakaan UGM, i-lib
• التنسيق: مقال NonPeerReviewed
• منشور في: [Yogyakarta] : Universitas Gadjah Mada 1999
• الموضوعات: Jurnal i-lib UGM
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/17967/; http://i-lib.ugm.ac.id/jurnal/download.php?dataId=742
• المؤسسة: Universitas Gadjah Mada

The purpose of this study is to analyze price fluctuations in bank stocks listed on the Jakarta Stock Exchange (JSX). This study uses two dynamic models: ECM (Error Correction Model) and FLM (Forward Looking Model) to analyze data in the short and long-runs and to compare the decision making of market players based on backward and forward looking information. The model also takes into account important political and economic events, such as the change in presidency from Soeharto to Habibie and the decision of the hrclonesian Bank Restructuring Agency (IBRA) to supervise and freeze bank operations. The findings of this study indicate that the change in national leadership and the IBRA decision significantly influenced the price of bank stocks listed on the JSX. The exchange rate of the rupiah against the US dollar is also a contributing factor. Comparison between ECM and FLM shows that FLM better describes the movements in stock price for almost all banks. Market players give more consideration to forward information than backward information when making current decisions.