Analisis Efficient Market Hypothesis Pada Bursa Efek Indonesia Terhadap Pasar Saham Asean

Abstract

This research aims to analyze the performance of Indonesia Stock Exchange to ASEAN stock market during period 2012-2016. The technique of determining the sample using purposive sampling method and 6 countries as sample are Indonesia, Singapore, Malaysia, Vietnam and Philippines. Hypothesis testing in this study using Descriptive Statistics Analysis, Test Run and Kolomogorov Smirnov with a significance level of 0.05. Test results show that: (1) Indonesia Stock Exchange has the highest efficient rating in ASEAN stock market (2) ASEAN Stock Exchange effect on Indonesia Stock Exchange. (3) The Indonesia Stock Exchange has a stock return pattern that fluctuates normally in the ASEAN stock market.div>

Stock Market Reaction to The Announcement of 2022 Fuel Price Increase on JII-30

“…According to Andrianto & Mirza (2016), the Indonesian market is categorized as weak because the results of his research show that there is no correlation between the current stock price of the company and the price in the previous period. However, when compared to other ASEAN stock markets such as the Singapore Exchange, the Philippine Stock Exchange, and the Stock Exchange of Thailand, the Indonesian stock exchange is categorized as having a high level of efficiency when compared to stock exchanges in ASEAN countries (Kartika et al, 2017). In an efficient market, company prices should reflect information about risk and expected returns but if the market is inefficient, companies will generate returns that are higher than normal (Tandelilin, 2010).…”