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"ABSTRACTInvestigating if the market is efficient is an old issue as market efficiency is imperative for channeling investments to best-valued projects and its importance endures. There is contradictory evidence in the literature provided by empirical researches. The primary purpose of this research has been to find out whether share prices are a random walk process by applying multiple unit root tests, Runs Test and newly developed State Space Model. The empirical findings of the study provide sufficient evidence that the stock prices of KSE 100 Index, S & P BSE 500 Index, and CSE All Share Index is not a random walk process and are thus weak form inefficient hypothesis. In this study, the concept of the random walk is examined considering only the stock markets while bypassing the other asset markets. This research supply exciting facts about independent samples from Pakistan, India, and Bangladesh and complement the existing literature on emerging markets."

"AbstrakOne aspect that concerns investors in valuing stocks is financial performance. The purpose of this research is to examine the effect of financial performance, firm size, and corporate social responsibility disclosure to the stock price in food and beverage sector companies in Indonesia Stock Exchange. Using a purposive sampling method has done the sample collection method and eleven of eighteen companies, which listed in Indonesia Stock Exchange in the years of 20013-2017, are used as the research samples. The method used in this study was Structural Equation Modeling Partial Least Square (SEM-PLS). The result of the research shows that financial performance, firm size, and corporate social responsibility disclosure affect the stock price. This result implies that the firm should improve the internal factors to increase stock prices."

"ABSTRAK Studi ini mencoba menggali lebih dalam kedalam salah satu faktor dari modelFama-French three factor model, yakni faktor size effect. Studi ini sekali lagimembuktikan keberadaan dari size effect pada periode penelitian 10 tahun denganhorizon bulanan. Studi ini juga mencoba menggali lebih dalam, faktor-faktor apasajakah yang sesungguhnya mempengaruhi size effect. Faktor-faktor yangpotensial pada umumnya berkaitan erat dengan indikator makroekonomi dananomali-anomali lainnya. Studi ini mencoba menganlisa, variabel manakah yangakan memengaruhi size effect bulanan di Indonesia.

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ABSTRACT This study explores deeper into one of Fama and French’s factor from the threefactor model, which is the size effect. This study proves again the presence of sizeeffect for a 10 year period in a monthly time horizon, and tries to dig deeper intowhat factors actually creates the size effect. The potential factors are closelyrelated to macroeconomic indicators as well as other anomalies that affectsreturns. This study tries to analyze, which of these variables will affect themonthly size effect in Indonesia."

"The stock markets are becoming an essential and inseparable part of the economies in many countries, including Indonesia. The fact that stock markets indices become one of the indicators to determine the healthiness of country economics showing the importance of the stock market in a country. Whenever the stock market experiences a substantial decline, there is reason to fear that a recession may come. Thus, policymakers and the government have to be aware of this matter. Macroeconomics plays an essential role in economies activities as well as brings an effect to stock market performance. GDP as an indicator of economic growth, inflation that is limiting consumption, interest rate, and exchange rate are selected macroeconomic variables that affect the stock market performance. Using multiple regression analysis, it is known that GDP and inflation contributing to the rise of stock market value, albeit the effect of inflation is not significant. Contrary, interest rate and exchange rate bring a negative impact on the stock market performance, primarily interest rate, which has a significant effect."

"The purpose of this study is to provide empirical on audit committee composition and audit committee effectiveness (ACE), based on a sun>ey of audit committees of publicly listed companies in the Jakarta Stock Exchange. The study finds that the majority of the companies comply with the JSX requirement about the minimum number of audit committee member (3 persons), their independence, and their competence (finance or accounting background). However, this study finds that audit committees are not yet effective in their authority, resources, and efforts. The interaction of audit committee with external auditors is the least effective while the communication to the board of commissioners and shareholders is the most effective. The interaction of audit committee with internal auditors and monitoring on compliance are also ineffective."

"ABSTRAKThis study examines the capability of stock from various industries to act as an inflation-hedge instrument, specifically in eight emerging-market Asian countries. By using monthly data for the period from 2001 to 2014, this study focuses on the relation between stock returns and inflation. The results of this study indicate that stocks from some non-cyclical industries have the capability to act as inflation-hedge instruments. Stocks that have the capability to inflation-hedge are come from industries with the natural characteristic of being a defensive industry."

"ABSTRAKThe study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is inferred that investors are rewarded with a positive risk premium for holding an asset in the down market, while the upside beta carries a negative premium. If news asymmetry captures a significant part of investors' risk perception in the market, there is evidence that a conditional FF3F model is more useful than a conditional CAPM, which is likened to both the dual-beta FF3F and the CAPM in an unconditional context. The purpose of this study is to analyze the beta-return characteristic, taking into account the asymmetric beta behavior in the upmarket versus the down market in the Bursa Malaysia (BM). This study takes place over a period of 15 years from 2001 to 2015 and utilizes dual beta models of CAPM and Fama-French model to examine 60 BM-listed stocks. The estimation of return and beta indicates that majority of stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is also inferred that investors are rewarded with positive risk premium for holding the asset in down market, while upside beta carries the negative premium. If news asymmetry is considered to capture a significant part of investors' risk perception in the Malaysian market, the findings constitute evidence that conditional Fama-French model is more useful than the conditional CAPM likened with both dual beta Fama-French 3-factor model and CAPM in unconditional context. "