Size Effect and Stock Behaviour During The Expansion and Contraction Phases of Economic Cycle : An Empirical Evidence From Indonesian Stock Market  

Oleh:

Asri S.W., Marwan

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: International Journal of Business vol. 4 no. 3 (Sep. 2002), page 361-372.
Topik: CAPITAL MARKET; capital market; economic cycle; size effect

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II51.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Banz (1981) and reiganum (1981) claim that, in terms of return creation, small firms tend to perform better than large firms. They implicitly claim that the phenomena (which is known as size effect) is stable and exists over the period of examination. This study intends to investigate the existence of size effect in indonesian market and more specifically, to test whether stages of economic cycle (expansion and contraction stages) determine the existence on the effect. The results of the study show that size effect does exist in the market for the whole period of observation (1991 - 2001). However, when the period is divided into two parts according to the stage of economic cycle, the statistical analysis results are nor supportive to the conclusion about the size effect.

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