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Weak Form Efficiency Tests: Evidence From The Jakarta Stock Exchange (1990-1996)

Author

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  • Thia Jasmina

    (Researcher, Institute for Economic and Social Research, Faculty of Economics, University of Indonesia, Jakarta)

Abstract

Pasar modal di Asia Tenggara telah mengalami perkembangan pesat selama dua dasawarsa terakhir. Demikian pula halnya dengan Bursa Efek Jakarta (BEJ), telah menjadi perhatian utama bagi para investor di pasar modal. Tulisan ini memaparkan hasil kajian empirik tentang perilaku pasar modal di Indonesia. Dengan menggunakan Hipotesa Efisiensi Pasar, dinyatakan oleh penulis bahwa perilaku harga-harga saham pada kurun waktu sekarang tidak dapat diperkirakan dari data harga-harga di masa lalu, karena harga-harga saat ini sudah mencakup seluruh informasi harga-harga di masa lalu. Dengan demikian, investor tidak dapat memperoleh keuntungan yang berlebihan jika menggunakan data harga masa lalu untuk memprediksi harga-harga dimasa depan.

Suggested Citation

  • Thia Jasmina, 1999. "Weak Form Efficiency Tests: Evidence From The Jakarta Stock Exchange (1990-1996)," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 47, pages 191-216, June.
    • Handle: RePEc:lpe:efijnl:199908
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