EFISIENSI PASAR MODAL : PERBANDINGAN PADA DUA PERIODE YANG BERBEDA DALAM PASAR MODAL INDONESIA
Herman Legowo(1*), Mas'ud Machfoedz(2)
(1) Universitas Gadjah Mada
(2) Universitas Gadjah Mada
(*) Corresponding Author
Abstract
There are three grades in efficient capital market. They are: (1) weak form, (2) semi strong form, and (3) strong form. Weak form efficiency, the market is efficient in the weak sense if share prices fully reflect the information implied by all prior price movements.
The purpose of this research is to know whether the stock price instataneously and fully reflect relevant historical information (weak form efficient capital market hypotesis). This means if someone trades stocks by using historical information, it will not earn abnormal return. In addition, this research is tests the assumption that capital market efficiency in the bullish condition is different from capital market
efficiency in the normal condition. The research is necessary for the reason that if slock price does not instantaneously and fully reflect relevant available informations, it will be able to mislead economic decisions.
The focus of this research is on the monthly stock price (the share price at the end of the month) to 23 companies which went publicc before Januari 1989. The year of 1989 was capital market period in the bullish condition, while 1992 year period is capital market period in the normal condition.
The hypothesis of this research is : (I) Jakarta Stock Exchange (JSX) is efficient, and (2) stock market (JSX) efficiency is the different after stock market condition to reach normal condition. The first hypothesis is to reach normal condition. The first hypothesis is to reach normal condition. The first hypothesis is tested by using probvalue which are base on randomnes test and serial correlation test. Randomnes test is used because one of the characteristics of the efficient market is that prices change randomly, while the serial corelation test is interrelated with the other characteristic of the efficient capital market, that the change of security prices has no corelation to each other. The statistical test, i.e. Wilcoxon 's signed rank test.
From the statistical analysis of the data we find that hypothesis of this research, while serial corelation test failed to reject the second hypothesis. This research hypothesis that stock market efficiency in the bullish condition is different fromn stock market efficiency in the normal condition was fail to rejected. In other words, if the sample was representative of population, this reserch implicity stated that weak form capital market efficienyfor the year of1989 and 1992 are valid in Indonesia.
The result of this research is in effect for 1989 and 1992 with monthly secondary-data get from the share price at the end of the month.
Keywords
Full Text:
PDFReferences
Babbie, Earl. The Pratice of Social Research. Third Edition. Belmont, California: Wadsworth Publishing Company, 1983.
Bawazier, Fuad, Dr. "Tinjauan terhadap Misi dan Orientasi Pengembangan Pasar Modal di Indonesia," Seminar Masalah-masalah Hukum di Pasar Modal Indonesia, Senat Mahasiswa Fakultas Hukum. UII, Yogyakarta, 1992.
Bloom, Robert, and Pieter T. Elgers, eds. Accounting Theory and Policy: A Reader. Second Edition. Orlando, Florida: Harcourt Brace Javanovich, Inc., 1987.
Campbell, William Giles, and Stephen Vaughan Ballou. Form and Style: Theses, Reports, Term Papers. Fourth Edition. Boston: Houghton Mifflin Company, 1974.
Dayan, Anto. Pengantar Metode Statistik. Jilid II. Jakarta: LP3ES, 1980.
Dyckman, Thomas R., and Morse Dale. Efficient Capital Markets and Accounting: a Critical Analysis Second Edition, New Jersey: Prentice-Hall, Inc., 1986.
Emory, C. William. Business Research Methods. Revised Edition. Homewood, Illinois: Richard D. Irwin, Inc., 1980.
Fama, Eugene F., "The Behavior of Stock , Market Prices," Journal of Business, January 1965, pp.35-105.
-------------- " Efficient Capital Markets: a Review of Theory and Empirical Work," Journal of Finance, 1970, pp. 383-416.
Hadi, Sutrisno, Prof. Drs. M.A. Statistik. Jilid II. Yogyakarta: Yayasan Penerbitan Fakultas Psikologi Universitas Gadjah Mada, 1983.
Husnan, Suad. Dasar-Dasar Teori Porto-Folio dan Analisis Sekuritas. Edisi Pertama. Yogyakarta: UPP-AMP YKPN, 1993.
"Efisiensi Pasar Modal Indonesia," Jurnal Ekonomi Indonesia, April 1992, pp. 24-34.
--------- "Prospek Bursa Paralel sebagai Altenatif Pembiayaan bagi Perusahaan Menengah," Majalah Manajemen & Usahawan Indonesia. No. 08 Th. XXIII Agustus, 1994.
------------- "The First Issues Market: Comparison on the Two Different Period in the Indoensian Market," Paper Presented on the Sixth PACAP Conference, July 1994.
"Investasi di Pasar Modal Indoesia: Perkembangan, Kecenderungan, Kebutuhan dan Prospek," KELOLA Gadjah Mada University Business Review. No.7/111, 1994,p.l00-13.
Keane, Simon M. Stock Market Efficieny Theory, Evidence and Implications. Second Edition. Oxford: Philip Allan Publishers Limited, 1985.
Lembaga Pengembangan Kreativitas & Pembinaan Disiplin Masyarakat bekerja sama Yayasan Mitra Dana Almanak Pasar Modal 1990. Vol.1, 1990.
Lorie, James H., Peter Dodd, and Mary Hamilton Kimpton. The Stock Market: Theories and Evidence. Second Edition. Homewood, Illinois: Richard D. Irwin, Inc.,1985.
Machfoedz, Mas'ud. Efficient Market Hypothesis and Information Content of Financial Ratios, Literature Review, School of Accountancy, Universty of Kentucky, Kentucky, 1993.
Mangande, Blasius. Efisiensi Burs Efek Jakarta sebelum dan sesudah Swatanisasi. Tesis S-2, Fakultas Ekonomi, Universitas Gadjah Mada, Yogyakarta, 1993.
Mason, Robert D. Statistical Techniques in Business and Economics. Third Edition. Homewood, Illinois: Richard D. Irwin, Inc., 1974
Pagalung, Gagaring. Kebutuhan lnformasi Investor di Pasar Modal Indonesia (Suatu Penelitian Eksploratif). Tesis S-2, Fakultas Ekonomi, Universitas Gadjah Mada, Yogyakarta, 1993.
Papilaya, Marcus Jacob. Pengaruh lnformasi Akuntansi terhadap Keputusan Investasi oleh Pemodal di Pasar Modal Indonesia. Tesis S-2, Fakultas Ekonomi, Universitas Gadjah Mada, Yogyakarta, 1990
Rusiti, Chritiana. Analisis Perilaku Harga Saham Pasar Modal di Indonesia: Periode 1986-1989 dengan Pendekatan Hipotesis Pasar Modal Efisien. Tesis S-2, Fakultas Ekonomi, Universitas Gadjah Mada, Yogyakarta, 1990.
Sereh, J.A. " Bursa Paralel sebagai Alternatif Investasi," Majalah Manajemen & Usahawan Indonesia. No. 08 Th. XXIII Agustus, 1994, pp. 31-35.
Schroeder, Richard G., Levis D. McCullers, and Myrtle Clark. Accounting Theory: Text and Readings. Third Edition. New York: John Willey and Sons, 1987.
Sjahrir. Analisis Bursa Efek Jakarta: PT Gramedia Pustaka Utama, 1995. ----------. "Swatanisasi Bursa dan Ekonomi Indonesia," Dinamika Ekonomi Indonesia 1990-1992, Warta Ekonomi, Jakarta 1992.
Sumantoro, Dr. Pengantar tentang Pasar Modal di Indonesia. Jakarta: Ghalia Indonesia, 1990
Supranto, J., M.A. Statistik Psar Modal. Jakarta: PT Rineka Cipta, 1992.
Tucker, Alan L., Jeff Madura, and Thomas C. Chiang. International Financial Markets: St. Paul: West Publishing Company, 1991.
Weston, J. Fred, and Thomas E. Copeland. Managerial Finance, Eight Edition. Chi- cago: The Dryden Press, 1986.
----------. and Eugene F. Brigham. Managerial Finance. Seventh Edition. Hinsdale, Illinois; The Dryden Press, 1981.
Wilkes and Brayshan. Company Finance and Its Management. Accountancy and Finance Series. London: A Nostrand UK. Co. Ltd., 1986.
Wonnacot, Ronald J., and Thomas H. Wonaccot. Introductory Statistics. Fourth Edition. New York: John Willey & Sons, 1985.
Wyatt, Arthur R. "Efficient Market Theory: Its Impact on Accounting," Journal of Accountancy. Februari 1983,p. 57.
-----. "Efficient Market Theory: Its Impact on Accounting, " Accounting Theory and Policy: A Reader.eds. Robert Bloom and Pieter T. Elgers. Second Edition. Orlando, Florida: Harcourt Brace Jova-novich, Inc., 1987, p. 264.
Article Metrics
Abstract views : 7174
| 
views : 6972
Refbacks
- There are currently no refbacks.
Copyright (c) 2018 Journal of Indonesian Economy and Business
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
| Journal of Indonesian Economy and Business |
| The Journal of Indonesian Economy and Business (print ISSN 2085-8272; online ISSN 2338-5847) is published by the Faculty of Economics and Business Universitas Gadjah Mada, Indonesia. The content of this website is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License |
| © 2019 Journal of Indonesian Economy and Business | Visitor Statistics |