Efficient Market Hypothesis in Indonesia Stock Exchange 2019

Abstract

Indonesian capital market is very important in developing Indonesia's economy by getting a cheap funding for their industry. Industry in the Indonesian capital market there are a variety of products was traded like bonds, mutual funds, equity or shares, warrant or option. The phenomenon from stock trading on the Indonesia Stock Exchange is very diverse like how to analyse stock price movements. Investors try to analyse stock prices with model like fundamental analysis or technical analysis. The capital market industry or the Stock Exchange must run its business with efficiently both in the company's operations or other efficiency such how to disseminate information that will be received by stock investors and efficiency in managing information so investors can know much. Efficient Market Hypothesis relates to the efficiency of information obtained by investors like transparency of information from private information like information each issuer and other information like public information that has been exposed to the public such as announcements of a rights issue or announcement of a company's stock withdrawal from the capital market. These announcements will usually have a significant effect on the share price on the Indonesia Stock Exchange, which will increase or decrease. The more efficient a capital market is all the information received will result in the movement of shares accurately and immediately so that it is considered to be unpredictable or randomly moving from day to day. The methodology of this research is will take data on the Indonesia Stock Exchange like the IHSG (composite stock price index) data in 2019 daily and will be proven whether the movement of the composite stock price index is random walk or not with use a Stochastic Process.

Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

“…Random walk theory explains if the price movement occurs randomly the investors cannot predict the future price movement. In case of the US SRI and SCI the alternative hypothesis is accepted which means that the price movement is non-random and investors can take help for ARIMA short-term forecast to predict the stock price movement (Santoso and Ikhsan, 2020).…”

“…If the null hypothesis is accepted, it means that the data is occurring randomly and investors cannot predict the future price movement. On the other hand, if alternative hypothesis is accepted it shows that investors can beat the stock price movement by minimizing the risk of uncertainty leading to higher returns (Santoso and Ikhsan, 2020).…”

Keterbukaan Informasi Uu Pasar Modal Menciptakan Asymmetric Information Dan Semi Strong Form

“…Efficient Market Hypothesis berhubungan dengan efisiensi atau kecepatan penyebaran informasi yang dimiliki oleh investor umum dari transparansi informasi terbatas menjadi informasi yang terbuka untuk umum (Santoso & Ikhsan, 2019).…”

Stock Price Reaction when Covid -19 Exist: Moderating by Firm’s Operating Cash Flow

“…Finally, any market will be considered as a strong form of efficiency when all available public and private sources of information are fully reflected in the share price (Shed & Bajwa 2018). Santoso and Ikhsan (2020) explain that the stock's opportunity to go up is the same as the stock's opportunity to go down. In conditions full of uncertainty about the choice to buy and hold shares, hoping that stock prices will increase in the future, it is considered the right decision.…”