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All Journal Jurnal Riset Manajemen dan Akuntansi
Vinsensius Ronald
Universitas Katolik Musi Charitas
Decision Sciences, Operations Research & Management

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Analisis Efisiensi Pasar Bentuk Lemah pada Indeks LQ45 di Bursa Efek Indonesia Periode 2021-2025 Vinsensius Ronald; Mutiara Maimunah
Jurnal Riset Manajemen dan Akuntansi Vol. 6 No. 2 (2026): Agustus: Jurnal Riset Manajemen dan Akuntansi
Publisher : Lembaga Pengembangan Kinerja Dosen

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55606/jurima.v6i2.7263

Abstract

This study aims to evaluate the weak-form efficient market hypothesis in the Indonesian capital market, specifically focusing on the LQ45 index from April 2021 to April 2025. This period captures the post-pandemic economic recovery characterized by high market volatility and a surge in retail investor participation driven by information digitalization. Using a descriptive quantitative approach, data on daily adjusted closing prices from 30 consistently listed stocks were transformed into logarithmic returns. Testing was conducted using the non-parametric Run Test to evaluate the random walk hypothesis after validating the data with the Augmented Dickey-Fuller Unit Root Test. The empirical results reveal that 17 stocks (56.67%) follow a random walk, while 13 stocks (43.33%), including major blue-chips like BBCA and BBRI, exhibit highly significant non-random movements. This indicates that the Indonesian capital market has not fully achieved a perfect weak-form efficiency. The implications of this research offer tactical insights for investors utilizing technical analysis to gain abnormal short-term returns and serve as a strategic reference for regulators to optimize market literacy in the digital era
Co-Authors Mutiara Maimunah