PENGUJIAN EFISIENSI DAN PENINGKATAN EFISIENSI BENTUK LEMAH BURSA EFEK INDONESIA PADA SAAT DAN SESUDAH KRISIS MONETER PADA SAHAM-SAHAM LQ-45
ABSTRACT: Efficient markets
can be classified into three forms: weak, semi-strong, and strong. Weak-form
efficiency suggests that security prices reflect all trade-related information,
such as historical security price movements and volume of securities trades, so
they don’t relate with current price and volume. In other words, historical
price movements independent or random over time. Thus, test of weak-form
efficiency is ralated with random walk theory. This research has two
objectives. The first objective is to analyze whether Indonesian capital market
has been efficient (weak-form). The second one is to analyze increasing
efficient market in two different periode. The study was carried out on the 10
stock in the LQ-45 index, based on crisis and after crisis during 1998 and 2006
period. The first objective was analyzed by using run and autocorrelation test.
The result shows that most stock are random in two different period. The second
one was analyzed by searching number stocks that is random in crisis and after
crisis period. The result shows there is not increasing weak-form efficiency
Keywords: weak-form
efficiency, random, and security price
Penulis: Ibnu Khajar
Kode Jurnal: jpmanajemendd080127
