INVESTOR BEHAVIOR IN THE CAPITAL MARKET: A REVIEW OF ADAPTIVE MARKETS HYPOTHESIS EVOLUTION THEORY OF COMPANIES IN INDONESIA DURING THE COVID-19 PANDEMIC
The anomaly that occurred during the COVID-19 pandemic indicates that the market is not always efficient, the anomaly occurs because there is asymmetric information received by investors. This is contrary to the EMH theory (efficiency markets hypothesis), which states that investors will not get abnormal returns in an efficient market. This research aims to empirically test the adaptive markets hypothesis during the COVID-19 pandemic. The population used in this study are companies listed on the Indonesia Stock Exchange 809 companies in 2020 – 2022. The sampling technique in this study was to use purposive sampling. The sample in this study is 56 companies that are politically connected and affected by COVID-19. The statistical test used in this study is the Variance Ratio Test. The anomalies that occurred during the COVID-19 pandemic cannot be explained by the efficiency markets hypothesis, so a theory is needed that can explain the pattern and nature of the stock exchanges that have occurred. The pattern and nature of the stock exchanges can be explained by the adaptive market’s hypothesis. The implication of the adaptive markets hypothesis is that markets can be efficient at one time and inefficient at the next, so companies must adapt to survive in any situation. This research succeeded in answering the formulation of the problem in this study, where the results of the variance ratio test in the 5 observation periods experienced varying efficiencies, thereby strongly supporting the existence of the adaptive markets hypothesis during the COVID-19 pandemic.
Anomalies, Efficiency Markets Hypothesis, Adaptive Markets Hypothesis, Abnormal Return, Variance Ratio Test.