Market Efficiency Testing Half Strong Form In Indonesia Stock Exchange

International Journal of Economics and Management Studies

© 2020 by SSRG - IJEMS Journal

Volume 7 Issue 9

Year of Publication : 2020

Authors : Suroto

10.14445/23939125/IJEMS-V7I9P111

How to Cite?

Suroto, "Market Efficiency Testing Half Strong Form In Indonesia Stock Exchange," SSRG International Journal of Economics and Management Studies, vol. 7,  no. 9, pp. 89-93, 2020. Crossref, https://doi.org/10.14445/23939125/IJEMS-V7I9P111

Abstract:

The purpose of this study is to determine the form of market efficiency in the Indonesia Stock Exchange. The population of this research is all IDX 80 shares for the period August 2019-January 2020, as many as 80 company shares. This study uses secondary data in the form of closing stock prices and closing stock price index, and the announcement of Jokowi's presidential inauguration in 2019. Seventy company stocks were studied and declared free from outliers. The research hypothesis uses a statistical tool—a one-sample t-test.
The research findings prove that there is a market reaction around events, and the market reacts quickly to absorb information towards a new equilibrium point. The Indonesian Stock Exchange is efficient in its information-strong semi-strong form.

Keywords:

Efficient Market, Efficient Market Hypothesis, Event Study, Excess Return.

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