Exploring Arbitrage Opportunity toward Natural Disaster Based on Indonesia Capital Market Observation

Abstract

Revisiting the EMH that the market price should reflect the true state efficiently, we have found some delay effect that can represent arbitrage opportunity to in Indonesia capital market during period 2009 – 2014. We believe to filter this effect from some popular effect which are January Effect and Holiday Effect in sampling process and we obtain the pattern that can give direction for future investment purpose in the future. The exciting classification stocks to be probed are the ones which give direct impact to the natural disaster emergency handling. They are: consumer goods (food & beverage), medicine which are for first aid in natural disaster, and cement for first temporary construction aftermath. We also interest to see the effect on media sector since they have active role in proliferating the news about. Most of the observation gives non normality data. Hence, instead utilize usual standard of classical statistical analysis, we employ non parametric approach.

Keywords: arbitrage opportunity, investment, capital market, natural disaster effect, abnormal return, event study

Australian Academy of Accounting and Finance Review, vol 1, issue 2, October 2015, page 119-131