Studi efisiensi pasar bentuk lemah pada pasar modal indonesia: sebelum dan sesudah covid 19
DOI:
https://doi.org/10.30872/jakt.v20i1.12894Keywords:
Efficient market hypothesis, random walk hypothesis, covid-19Abstract
Penelitian ini bertujuan untuk menguji efisiensi pasar bentuk lemah pada sektor farmasi dan telekomunikasi di pasar modal Indonesia selama periode tahun 2017-2020 (1 Januari 2017 – 30 Desember 2020) dan periode Covid-19 tahun 2020 (1 Januari 2020 – 30 Desember 2020). Penelitian ini menggunakan data harga penutupan saham harian. Uji statistik menggunakan uji normalitas Jarque-Bera, uji autokorelasi Ljung Box untuk menguji dependensi serial, run test dan Augmented Dickey Fuller (ADF) untuk menguji random walk hypothesis. Hasil penelitian menunjukkan bahwa sektor farmasi dan telekomunikasi adalah efisien dalam bentuk lemah selama periode penelitian. Penelitian ini memberikan saran kepada investor yang akan berinvestasi dan bagi peneliti selanjutnya..
References
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Bajaj, S., & Sethi, N. (2016). An Empirical Analysis of Behaviour of Stock Market Indices. Paradigm, 20(2), 216–235. https://doi.org/10.1177/0971890716670724
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Emenike, K. O. (2017). Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence. Journal of Emerging Market Finance, 16(1), 90–113. https://doi.org/10.1177/0972652716686268
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Jain, P., Vyas, V., & Roy, A. (2013). A study on weak form of market efficiency during the period of global financial crisis in the form of random walk on Indian capital market. Journal of Advances in Management Research, 10(1), 122–138. https://doi.org/10.1108/09727981311327802
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Kumail, S., Rizvi, A., Mirza, N., Naqvi, B., & Rahat, B. (2020). Covid ‑ 19 and Asset Management in EU : A Preliminary Assessment of Performance and Investment Styles. Journal of Asset Management, 21(4), 281–291. https://doi.org/10.1057/s41260-020-00172-3
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OJK. (2015). Buku Saku Otoritas Jasa Keuangan (2nd ed.).
Prakash, S. (2014). Efficient Market Hypothesis: Examining the Case of South Asian Stock Markets. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2463788
Sabbaghi, O., & Sabbaghi, N. (2018). Market efficiency and the global financial crisis: evidence from developed markets. Studies in Economics and Finance, 35(3), 362–385. https://doi.org/10.1108/SEF-01-2014-0022
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Tambunan, D. (2020). Investasi Saham di Masa Pandemi COVID-19. Jurnal Sekretari Dan Manajemen, 4(2), 117–123.
Ţiţan, A. G. (2015). The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research. Procedia Economics and Finance, 32(15), 442–449.
Town, P. (2020). How to Invest During a Pandemic: Covid-19 and the Stock Market. https://www.ruleoneinvesting.com/Blog/How-To-Invest/How-To-Invest-During-Pandemic/
Utami, A. T. (2018). Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia , Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008. 2(2), 101–116.
Worthington, A. C. (2006). Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets : Comparative Tests of Random Walk Behaviour Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets : Comparative Tests of Random Walk Behaviour.
Yulaeli, T. (2014). Reaksi Pasar Modal Indonesia Sebelum dan Sesudah Pemilihan Umum Presiden 2014 (Studi pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia). Jurnal Ekonomika, 2014, 68–87.
Yulianti, E., & Jayanti, D. (2019). Pengujian Efisiensi Pasar Bentuk Lemah pada Pasar Modal Indonesia Periode 2014-2017. XI.
Andrianto, Y., & Rishad Mirza, A. (2016). A Testing of Efficient Markets Hypothesis in Indonesia Stock Market.
Bajaj, S., & Sethi, N. (2016). An Empirical Analysis of Behaviour of Stock Market Indices. Paradigm, 20(2), 216–235. https://doi.org/10.1177/0971890716670724
Das, K. R., & Imon, A. H. M. R. (2016). A Brief Review of Tests for Normality. American Journal of Theoretical and Applied Statistics, 5(1), 5–12. https://doi.org/10.11648/j.ajtas.20160501.12
Domanski, C. (2010). Properties of the Jarque-Bera Test. Folia Oeconomica, 9.
Emenike, K. O. (2017). Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence. Journal of Emerging Market Finance, 16(1), 90–113. https://doi.org/10.1177/0972652716686268
Emerging Markets Returns. (2020). Novel Investor. https://novelinvestor.com/emerging-markets-performance/
Fama, E. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34–105.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-EighthAnnual Meeting of the American Finance Association New York, N.Y, 25(2), 383–417.
Ghozali, I. (2018a). Aplikasi Analisis Multivariate dengan Program IBM SPSS 25 (9th ed.). Badan Penerbit Universitas Diponegoro Semarang.
Ghozali, I. (2018b). Aplikasi Analisis Multivariate dengan Program SPSS 25 (9th ed.). Badan Penerbit Universitas Diponegoro Semarang.
Guidi, F., Gupta, R., & Maheshwari, S. (2011). Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets. Journal of Emerging Market Finance, 10(3), 337–389. https://doi.org/10.1177/097265271101000304
Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). Testing the Weak form of Efficient Market Hypothesis : Empirical Evidence from Asia-Pacific Markets. International Research Journal of Finance and Economics, 58(58), 121–133.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi (edisi kese). BPFE-YOGYAKARTA.
Jain, P., Vyas, V., & Roy, A. (2013). A study on weak form of market efficiency during the period of global financial crisis in the form of random walk on Indian capital market. Journal of Advances in Management Research, 10(1), 122–138. https://doi.org/10.1108/09727981311327802
Khajar, I. (2008). Pengujian Efisiensi dan Peningkatan Efisiensi Bentuk Lemah Bursa Efek Indonesia pada Saat dan Sesudah Krisis Moneter pada Saham-saham LQ-45. Jurnal Manajemen Teori Dan Terapan, 3, 144–164.
Kumail, S., Rizvi, A., Mirza, N., Naqvi, B., & Rahat, B. (2020). Covid ‑ 19 and Asset Management in EU : A Preliminary Assessment of Performance and Investment Styles. Journal of Asset Management, 21(4), 281–291. https://doi.org/10.1057/s41260-020-00172-3
Malkiel, B. G. (1973). A Random Walk Down Wall Street (p. 512). https://www.ozon.ru/context/detail/id/2819530/
Malkiel, B. G. (2003). The Efficient Market Hypothesis and Its Critics. Journal of Economic Perspectives, 17(1), 59–82.
OJK. (2015). Buku Saku Otoritas Jasa Keuangan (2nd ed.).
Prakash, S. (2014). Efficient Market Hypothesis: Examining the Case of South Asian Stock Markets. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2463788
Sabbaghi, O., & Sabbaghi, N. (2018). Market efficiency and the global financial crisis: evidence from developed markets. Studies in Economics and Finance, 35(3), 362–385. https://doi.org/10.1108/SEF-01-2014-0022
Semuel, H., Basana, S. R., Budihargono, K., Bisnis, F., Petra, U. K., & Surabaya, J. S. (2017). Analisa Efisiensi Pasar Modal Bentuk Lemah Melalui Evaluasi Pergerakan Harga Saham di Bursa Efek Indonesia. Petra Business & Management Review, 3(2), 106–119.
Tambunan, D. (2020). Investasi Saham di Masa Pandemi COVID-19. Jurnal Sekretari Dan Manajemen, 4(2), 117–123.
Ţiţan, A. G. (2015). The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research. Procedia Economics and Finance, 32(15), 442–449.
Town, P. (2020). How to Invest During a Pandemic: Covid-19 and the Stock Market. https://www.ruleoneinvesting.com/Blog/How-To-Invest/How-To-Invest-During-Pandemic/
Utami, A. T. (2018). Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia , Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008. 2(2), 101–116.
Worthington, A. C. (2006). Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets : Comparative Tests of Random Walk Behaviour Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets : Comparative Tests of Random Walk Behaviour.
Yulaeli, T. (2014). Reaksi Pasar Modal Indonesia Sebelum dan Sesudah Pemilihan Umum Presiden 2014 (Studi pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia). Jurnal Ekonomika, 2014, 68–87.
Yulianti, E., & Jayanti, D. (2019). Pengujian Efisiensi Pasar Bentuk Lemah pada Pasar Modal Indonesia Periode 2014-2017. XI.
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