Abstract
Study about efficient market hypothesis is a common object for many financial researchers. Nevertheless, there are still limited studies about futures contract market particularly in the emerging market. The purposes of this study were to test the weak form efficiency of the Olein futures contract in the Jakarta Futures Exchange and to seek factors that can affect the fluctuation of Olein futures contract price. ARIMA and GARCH models were used as the basis for the analyses. Results of the study indicated that using weekly data, the weak form efficient market (random walk) hypothesis was rejected for the Olein futures contract in the Jakarta Futures Exchange, meaning that the market was in efficient.This implies that some one will be able to outperform the market using technical analysis for predicting future price changes. Furthermore, using monthly data, the fluctuation of Olein futures contract returnis influenced significantly by interest rate, exchange rate and CPO price.
Keywords : Jakarta Futures Exchange, Efficient Market Hypothesis, ARIMA, GARCH
Authors
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).