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All Journal Jurnal Keuangan dan Perbankan Juara: Jurnal Riset Akuntansi Journal of Innovation in Business and Economics Abdimas UNWAHAS : Jurnal Pengabdian Masyarakat UNWAHAS Jurnal Ekuivalensi Jurnal Inovasi Ekonomi Abdimasku : Jurnal Pengabdian Masyarakat JAKA (Jurnal Akuntansi, Keuangan dan Auditing)
Dwiarso Utomo
Faculty Of Economics And Business, Universitas Dian Nuswantoro, Semarang
Agriculture, Biological Sciences & Forestry Humanities Chemical Engineering, Chemistry & Bioengineering Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Health Professions Industrial & Manufacturing Engineering Medicine & Pharmacology Social Sciences

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Journal : Jurnal Keuangan dan Perbankan

 1 
BENARKAH PASAR MODAL KITA EFISIEN? BUKTI DARI JAKARTA STOCK EXCHANGE Dwiarso Utomo; Fuad Fuad
Jurnal Keuangan dan Perbankan Vol 12, No 1 (2008): January 2008
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (293.64 KB) | DOI: 10.26905/jkdp.v12i1.870

Abstract

This study tested efficiency of market hypothesis to stock prices in Indonesia byusing two unit root tests. First, we implemented a test that could account for two structuralbreaks because of financial crisis in the underlying series. Second, we employed variance ratiotest to test the null hypothesis of random walk after adjusting for heterocedasticity. The resultsindicated that there were breaks, particularly in the intercept of the trend function. We alsofound that our heterocedastic-consistent variance ratio test documents rejected random walkhypothesis. The results somehow revealed the ambiguous results which were perhaps due toheterocedasticity in the data.
Co-Authors Anindyafebi Tanara Anna Sumaryati Bambang Minarso, Bambang Dedi Kurniadi Fuad Fuad Hayu Wikan Kinasih Jesica Viranco Intan Miranda Kusni Ingsih Machmuddah, Zaky Melati Oktafiyani Muchamad Aprillia Salas Naela Mardlotillah Nila Tristiarini Tiwi Jiarni Yashinta Putri Wijayanti Yulita Setiawanta