Ibnu Khajar_abstract_1612012

EFISIENSI PASAR MODAL SYARIAH INDONESIA
SEBELUM DAN SESUDAH KRISIS FINANSIAL GLOBAL 2008

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

 

Abstract

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

<FULL TEXT>

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s