A Testing of Efficient Markets Hypothesis in Indonesia Stock Market

被引：4
|
作者：
Andrianto, Yanuar [1 ]
Mirza, Adrian Rishad [1 ]
机构：
[1] PPM Sch Management, Jalan Menteng Raya 9, Cent Jakarta 10340, Indonesia
来源：
3RD GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES (GCBSS-2016) ON CONTEMPORARY ISSUES IN MANAGEMENT AND SOCIAL SCIENCES RESEARCH | 2016年 / 219卷
关键词：
Capital Market; Efficient Markets Hypothesis (EMH); Indonesia Stock Exchange; Jakarta Islamic Index; Kompas; 100; Index; LQ45; Run Test; Serial Correlation Test; Stock Price; and Weak Form;
D O I：
10.1016/j.sbspro.2016.04.048
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2016 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license.
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页码：99 / 103
页数：5
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