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Kiswanti, Pipin (2008) UJI EFISIENSI PASAR MODAL INDONESIA BENTUK LEMAH DAN SETENGAH KUAT UNTUK PERIODE 2002 – 2006. Other thesis, University of Muhammadiyah Malang.


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Research concerning examination of Indonesia capital market efficiency have done many by previous researcher. Result of research in general indicate that the condition of Indonesia capital market only fulfilling weak form efficiency. The reason push doingof examination to consistency of efficient market hypothesis of weak form at Indonesia capital market. Besides also to test what is condition of natural Indonesia capital market is make-up of to efficiency form semi strength. This research aim to test weak form capital market efficiency at Indonesia capital market (PT. Indonesia Stock Exchange) by using final closing share price data of period month 2002-2006. Besides also to test market efficiency form semi strength to stock of split period 2002-2006. Examination to used weak form efficiency test of autokorelasi and runs test. While examination to efficiency form semi strength used one sample t test. Result of research indicate that Indonesia capital market at PT. Indonesian Stock Exchange do not the included in weak form efficiency, which proved from result of autokorelasi test to final closing share price of month during period 2002-2006 indicating that there are positive autokorelasi between final closing share price of month and also from runs test that pattern price change of final closing share of month do not have the character of random. Capital market Indonesia not included in efficiency form semi proved strength from result of one sample t test indicating that there are is abnormal different return signifikan by 0 (zero) during period of window (seven day before announcement of stock split, at the moment of stock split announced and seven day after announcement of stock split).

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economics and Business > Department of Accounting (62201)
Depositing User: Anggit Aldila
Date Deposited: 14 May 2012 03:20
Last Modified: 14 May 2012 03:20

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