Ibnu Khajar_abstract_1612012


Ibnu Khajar

Fakultas Ekonomi Universitas Islam Sultan Agung (Unissula) Semarang
Jl. Raya Kaligawe Km.4 Semarang, 50112


Korespondensi dengan Penulis:
Ibnu Khajar: Telp. + 62 24 658 3584; Fax. +62 24 658 2455
E-mail: didijon58@yahoo.co.id



Efficient markets could be classified into three forms: weak, semistrong, and strong. Weak-form efficiency suggested that security prices reflected all trade-related information, such as  historical security price movements and volume of securities trades, so they did not relate to current price and volume. In other words historical price movements was independent or random over time. Thus, test of weak-form efficiency related to random walk theory. This research had two objectives. The first objective was to analyze whether Indonesian capital market was efficient (weak-form). The second one was to analyze increasing efficient market in two different periods. The study was carried out on the 6 stocks in the Jakarta Islamic Indexs (JII), based on before, while, and after global financial crisis 2008. The first objective was analyzed by using run test. The result showed that most stocks were random in three (before, while, and after) different periods. The second one was analyzed by searching number of stocks that were random in the three periods. The result showed there was decreasing weak-form efficiency inthe period before and while crisis and increasing in the period before and after global financial crisis 2008.


Key words: weak-form efficiency, random, stock price, sharia, global financial crisis


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