A Testing of Efficient Markets Hypothesis in Indonesia Stock Market

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• 作者：Yanuar Andrianto ; ^{andrianto77@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Adrian Rishad Mirza ^{ynr@ppm-manajemen.ac.id" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Capital Market ; Efficient Markets Hypothesis (EMH) ; Indonesia Stock Exchange ; Jakarta Islamic Index ; Kompas 100 Index ; LQ45 Index ; Run Test ; Serial Correlation Test ; Stock Price ; and Weak Form
• 刊名：Procedia - Social and Behavioral Sciences
• 出版年：2016
• 出版时间：31 May 2016
• 年：2016
• 卷：219
• 期：Complete
• 页码：99-103
• 全文大小：125 K

文摘

This research's objective is to see market efficiency form on Indonesia stocks market. Using daily stocks price data gathered from LQ45 Index, Jakarta Islamic Index (JII), and Kompas 100 Index during the periods of 2013 until 2014. Statistical test using run test and serial correlation test to examine weak form efficiency. The result findings showing that Indonesia stock market has been categorized as weak form efficiency. The statistical testing was done and the result are: 1) the daily stocks price movement is random walk, 2) the stock price movement has no correlation between the present day and the previous day.