Efficient Market is the market where all traded securities prices reflects all available information. Market Efficient Hypotesis in the Weak Form stated that past stock price movement incorporated with current securities’s prices, thus it can be used to predicting the current price or return. The objective of this research is to examine the weak form of Efficient Market Hypothesis (EMH) in Indonesia Sharia Stock Index (ISSI) over the period of January 3rd2017 -February 8th 2019. To Examine the EMH, some appropriate tests are developed, these are: Run Test, Autocorrelation Test, Autoregressive Integrated Moving Average (ARIMA), and Paired Sample t-test. The result findings showing that ISSI is not efficient in the weak form during the period of the study. Moreover, in accordance with time series modelling result, the fitted model is ARIMA (1,1,1) with accuracy level of 78%. This result proved that ARIMA model successfully and accurately in forecasting ISSI indices. It can be implied that the historical stock index data in the past still described the stock index information in the future. Thus, technical analysis is still feasible to do as the guide for investors in conducting transactions in the capital market.AbstrakPasar yang efisien adalah pasar dimana semua harga sekuritas yang diperdagangkan telah mencerminkan semua informasi yang tersedia. Teori pasar efisien bentuk lemah menyatakan bahwa perubahan harga masa lalu tidak berhubungan dengan harga sekuritas sekarang, sehingga tidak dapat digunakan untuk memprediksi harga atau return dari sekuritas. Penelitian ini bertujuan untuk melakukan pengujian hipotesis pasar efisien bentuk lemah pada Indeks Saham Syariah Indonesia (ISSI). Data diambil pada periode 3 Januari 2017 – 8 Februari 2019. Pada tahap awal penelitian, Run test dan Autocorrelation test dilakukan untuk melihat apakah pasar efisien bentuk lemah berlaku pada ISSI. Selanjutnya dilakukan pembentukan pemodelan time series ARIMA untuk melihat teknik prediksi yang sesuai untuk memprediksi Indeks Saham ISSI. Hasil Run test dan Autocorrelation test menunjukkan bahwa hipotesis pasar efisien bentuk lemah tidak terbukti. Pada pembentukan model ARIMA, terlihat bahwa model yang sesuai adalah ARIMA (1,1,1) menghasilkan tingkat akurasi sebesar 78%. Hal ini membuktikan bahwa model ARIMA berhasil dan akurat digunakan untuk memprediksi Indeks Harga Saham ISSI. Oleh karena itu, analisis teknikal masih dapat digunakan oleh investor untuk menjadi pedoman dalam melakukan transaksi perdagangan di pasar modal.

The unprecedented COVID-19 pandemic has ripped down the worldwide economies since the beginning of 2020. The stock market was one of the economic sectors that experienced depression and crashed during the pandemic. In this study, we mount an investigation on how Indonesia's large-scale social restrictions (known as "PSBB"), the announcement of the daily growth in total confirmed and death cases by COVID-19 affect the dynamic of Islamic stock returns in the Jakarta Islamic Index. This study used panel regression to test the effect between variables with market-to-book ratio and market capitalization ruled as a control variable. This study concluded that the announcement of daily growth in total confirmed cases by COVID-19 and the implementation of PSBB has a negative effect on the deterioration of the Islamic stock market's stability. Therefore, the higher growth of the total confirmed cases by COVID-19 and the tightening of the PSBB that was announced and implemented by the government would impact on the volatility of market and shareholders returns negatively. Interestingly, this study also found that there was a positive and significant relationship between the daily growth of death cases and stock return. Furthermore, the sectors of consumer goods, mining, and trading counted as the most performed market during the pandemic crisis.

Fundamental Analysis and Technical Analysis have long been used by investors as an analysis instrument to predict the stock price in gaining optimal return. The purpose of this study is to test the predictive ability of Fundamental Analysis and Technical Analysis  model partially, then simultaneously test the integrated model of both analysis. The scope of this study includes the listed companies in LQ 45 stock exchange during 2007- 2016 period. The Fundamental Variable used in this study are Earning per Share (EPS), Dividend Payout Ratio (DPR) and Return on Equity (ROE). The Technical Variable used is the price during the previous six months ( price t-0.5), Positive extreme price increase (D-Up), and Negative extreme price decline momentum (D-Down). The result of this study shows that Technical Model produces highest predictive ability compared to the other two models, while Integration model produces higher predictive ability compared to fundamental model. Using Integration model,  EPS variable affects positively and significant, DPR variable affects negatively and insignificant, ROE variable, t-0.5, and D-Up affect positively and significant, while variable D down affects negatively and insignificant to the Stock Price. This result indicates that investors need to combine both analysis models i.e. fundamental and technical to generate optimal stock returns.     Keywords and phrase : Earning Per Share, Dividend Payout Ratio, Extreme Positive Momentum, Extreme Negative Momentum.

This research aims to investigate the impact of the COVID-19 pandemic on socially responsible investment, specifically the SRI-KEHATI stock index on the Jakarta Stock Exchange. The study utilizes secondary data comprising 11,175 observations from 35 public companies, spanning from March 2, 2020, to December 31, 2021. Panel data regression is employed to examine the relationship between stock returns and confirmed COVID-19 cases, serving as the independent variable. The model is controlled for market capitalization, market-to-book ratio, and firm size. Additionally, Indonesia's lockdown policy is incorporated as a dummy variable. The findings reveal a significant negative impact of confirmed cases on SRI-KEHATI stock returns.

This study examine the role of Corporate governance (proxied by audit committee independence variables, institutional ownership, independent commissioners, board size) and enterprise risk management in predicting the emergence of corporate financial distress. The research design is quantitative. The research object or population studied is mining companies listed on the Indonesia Stock Exchange (IDX)  during the period of 2016-2021. The method used for determining the research sample is purposive sampling, namely determining the sample from the existing population based on predetermined criteria obtaining research sample of 132 observations. All data sets are sourced from the Indonesia Stock Exchange website. This study is employing Panel Regression Analysis including descriptive statistics analysis, correlation, and hypothesis testing using the EViews 12 software. The result posits that institutional ownership has a significant positive effect on financial distress, while the independence of the audit committee, independent commissioners, board size, enterprise risk management do not have a significant impact on financial distress. Further, the control variable of this study, namely company size, has a significant negative effect on financial distress. This study is expected to have significant contribution to Mining enterprise’s stakeholder in examining prominent factors in predicting financial distress.