Pengujian Efisiensi Pasar Pada Pasar Modal Indonesia Periode Juni 2009 - Juni 2015 (Studi Pada Indeks Harga Saham Gabungan)

GIFTANA JUTA HASE, NADIA ASANDIMITRA HARYONO

Abstract


This study aims to test the capital market in Indonesia is weak form efficient during the period June 2009 – June
2015 by examining the evaluation of movement from the return of JCI. The object of this study were daily, weekly,
and monthly returns obtained from the closing price of the composite stock price index during the study period. The
two conventional ways, run-test and autocorrelation test are used to prove the evidences of weak form market
efficiency. Beside those two methods, unit root test also added to analyze JCI. The result of the research shows in
that period the movement of JCI return is random so it’s categorized as weak form efficient market. The run-test of
three returns resulted of random movement during the period June 2009 – June 2015. The autocorrelation test of
three returns resulted that there was no autocorrelation either positive or negative, it shows that the current return
movement isn’t influenced by the previous return so that’s random. Different from the previous two tests, unit root
test conclude that three returns are stationary so they don’t move randomly. The non-randomness of three returns
can be due to deviations in the efficient market testing called noise. It’s difficult for stock analysts to determine the
worthiness of a stock price if the stock price information is incomplete and incorrect. The implication of this study
that efficient market needed precise, accurate, and fast information.

Keywords: market efficiency, Indonesia capital market, Jakarta composite index



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