Path: Top > Journal Politeknik Negeri Bandung > Jurusan Akuntansi > EKSPANSI > Volume 2 Nomor 1 Mei 2010
Pengujian Efisiensi Pasar Modal Bentuk Lemah di Bursa Efek Indonesia Pasca Penggabungan BEJ-BES
Oleh : Mardha Tri Meilani
Dibuat : 2012-03-22, dengan 1 file
Keyword : capital market efficiency, random walk, run test, cycle test
The Purpose of Jakarta Stock Exchange (JSX) and Surabaya Stock Exchange (SSX) merger is to improve the efficiency of capital markets in Indonesia, both operationally and informationally. If the capital market in Indonesia is efficient, BAPEPAM as a capital market regulator is expected to provide assurance of full disclosure, accurate, and fair. Therefore, all capital market players have the same quality and the same amount of information, and accepted at the same time, so that no investor can enjoy abnormal return at the expense of other investors. The purpose of this research is to assess the weak form efficiency of capital markets in Indonesia post-merger JSX and SSX. This test will be prove whether the data on capital markets in Indonesia can be used to determine the movement of capital market data in the next period. The research methods used was run tests and test cycle. These method is used because the stock price index data and the stock price distribution is not normal. Run tests and cycle tests carried out on 16 stock price index data and 24 stock prices in IDX with the observation period for 377 days and 372 days as the sample size. The result of runs tests indicate that both of the six teen stock indexes and twenty four stocks estimated z values are significant at the 0,01 level. The negative z-value for stock indexes and stocks indicate that the actual number runs falls short of expected number of runs under the null hypothesis of return independence. As well as the results of the cycle test indicates that the stock price data following a certain pattern so that investors can be easy to predict the movement of stock for getting abnormal return. The Indonesia Capital Markets do not follow random walks and weak form inefficient. In market is not characterized by a random walk, the return can be predicted by the historical sequence of returns. The results also provide guidance for investors interested in forecasting returns in the markets
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| Organisasi | |
| Nama Kontak | Erlin Arvelina |
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