Analysis Weak Form Efficiency in Indonesia Stock Exchange Period 2011-2016

Evida Rahimah, Indra Maipita, Sri Fajar Ayu

2018

Abstract

Stock market efficiency is a very important study, because an inefficient market allows the market authorities to consistently obtain an abnormal return indicated by stock returns showing predictable behavior or not following a random walk pattern. The purpose of this study is to find out whether stock returns on the Indonesia Stock Exchange are random walk evidenced from non-parametric tests (runs test) and parametric tests (unit root test). This study uses 34 samples, namely the issuer in the LQ45 index, with the study period from January 2011 to December 2016. The data used in this study is the LQ45 index weekly stock closing price from January 2011 to December 2016 obtained from the publication report Indonesia stock exchange. This study using a significance level of 5%. The analytical method used is non-parametric test (run test and phillips perron test) and parametric test (unit root test and autocorrelation function test). The result of the research shows that stock return of Indonesia Stock Exchange are not random walk or inefficient in weak form.

Paper Citation

in Harvard Style

Rahimah E., Maipita I. and Ayu S. (2018). Analysis Weak Form Efficiency in Indonesia Stock Exchange Period 2011-2016.In Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES, ISBN 978-989-758-432-9, pages 442-446. DOI: 10.5220/0009500704420446

in Bibtex Style

@conference{unicees18,
author={Evida Rahimah and Indra Maipita and Sri Fajar Ayu},
title={Analysis Weak Form Efficiency in Indonesia Stock Exchange Period 2011-2016},
booktitle={Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,},
year={2018},
pages={442-446},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009500704420446},
isbn={978-989-758-432-9},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,
TI - Analysis Weak Form Efficiency in Indonesia Stock Exchange Period 2011-2016
SN - 978-989-758-432-9
AU - Rahimah E.
AU - Maipita I.
AU - Ayu S.
PY - 2018
SP - 442
EP - 446
DO - 10.5220/0009500704420446