Analisis efisiensi pasar modal bentuk setengah kuat terhadap pasar modal di Indonesia berkenaan dengan peristiwa KAA (Konferensi Tingkat Tinggi Asia-Afrika) di Bandung 19-24 April 2004

Kusumawati, Yenny (2005) Analisis efisiensi pasar modal bentuk setengah kuat terhadap pasar modal di Indonesia berkenaan dengan peristiwa KAA (Konferensi Tingkat Tinggi Asia-Afrika) di Bandung 19-24 April 2004. Masters thesis, Widya Mandala Catholic University Surabaya.

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Abstract

This paper discusses the efficient market hypothesis initially proposed by Fama (1970). Fama contends that there are three types of market efficiency: weak form, semi strong form, and strong form. Semi strong form efficiency, the market is efficient share prices fully reflect all publicly available information. Jogiyanto (1998) classified the efficiency market in two forms: informationally efficient market and decisionally efficient market. How is the character of the Indonesian capital market? Could we clasified Indonesia capital market to be the decisionally efficient market? This means that the information that forms the price in the market quickly, correctly and fully reflect all publicly information. The purpose of this research is to know whether the Indonesian capital market call be classified to the semistrong from efficient market, specially to be classified to the decisionally efficient market. The focus of this research on the non economic event, that is KAA (Konferensi Asia Afrika) on 19-24 April 2005, to LQ45 which selected on February-July 2005 period. The hypothesis of this research tested by using t-test which are base on standardized abnormal return (SAR) and standar error of the estimation (SEE), and Paired Sample T-Test. This research however appears to support that the Indonesia capital market is classified to be the decisionally efficient market.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Efficient market hypothesis, weak form market efficiency, semi-strong form market efficiency, strong form market efficiency, informationally efficient market and decisionally efficient market.
Subjects: Business
Business > Strategic Management
Divisions: Graduate School > Master Program in Management
Depositing User: Sri Kusuma Dewi
Date Deposited: 26 Jun 2015 08:01
Last Modified: 26 Jun 2015 08:01
URI: http://repository.wima.ac.id/id/eprint/2606

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