Efisiensi Pasar Modal Perbandingan Pada Dua Periode Yang Berbeda Dalam Pasar Modal Indonesia

ABSTRACT There are three grades in efficient capital market. They are: (1) weak semi strong form, and (3) strong form. Weak form efficiency, the market is the weak sense if share prices fully reflect the information implied by all p movements. The purpose of this research is to know whether the stock price instatane fully reflect relevant historical information (weak form efficient capit hypotesis). This means if someone trades stocks by using historical informal\u27 not earn abnormal return. In addition, this research is tests the assumption t market efficiency in the bullish condition is different from capital market e the normal condition. The research is necessary for the reason that if stock not instantaneously and fully reflect relevant available informations, it will mislead economic decisions. The facus of this research is on the monthly stock price (the share price of the month) to 23 companies which went publicc before Januari 1989. T 1989 was capital market period in the bullish condition, while 1992 year capital market period in the normal condition. The hypothesis of this research is : (1) Jakarta Stock Exchange (JSX) is and (2) stock market (JSX) efficiency is the different after stock market c reach normal condition. The first hypothesis is to reach normal condition. hypothesis is to reach normal condition, The first hypothesis is tested by us value which are base on randomnes test and serial correlation test. Rondo used because one of the characteristics of the efficient market is that pri randomly, while the serial corelation test is interrelated with the other char the efficient capital market, that the change of security prices has no corelctti other. The statistical test, i.e. Wilcoxon\u27s signed rank test. From the statistical analysis of the data we find that hypothesis of this while serial corelation test failed to reject the second hypothesis. This hypothesis that stock market efficiency in the bullish condition is different fr market efficiency in the normal condition was fail to rejected. In other sample was representative of population, this reserch implicity stated that capital market efficieny for the year of 1989 and 1992 are valid in Indonesia. The result of this research is in effect for 1989 and 1992 with monthly data get from the share price at the end of the month. Keywords : Efficiency - weak form - bullis