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EFISIENSI PASAR MODAL SYARIAH INDONESIA SEBELUM DAN SESUDAH KRISIS FINANSIAL GLOBAL 2008

Jurnal Keuangan dan Perbankan, Volume 16, Nomor 1, Januari 2012
Journal from JIPTUNMERPP / 2012-08-31 09:53:59
Oleh : Ibnu Khajar, Diploma 3 of Finance and Banking Merdeka University Malang (jurkeubank@yahoo.com)
Dibuat : 2012-01-01, dengan 0 file

Keyword : Weak-form efficiency, random, stock price, sharia, global financial crisis

Efficient markets could be classified into three forms: weak, semistrong, and strong. Weak-form efficiency sug-
gested that security prices reflected all trade-related information, such as historical security price movements and
volume of securities trades, so they did not relate to current price and volume. In other words historical price
movements was independent or random over time. Thus, test of weak-form efficiency related to random walk
theory. This research had two objectives. The first objective was to analyze whether Indonesian capital market was
efficient (weak-form). The second one was to analyze increasing efficient market in two different periods. The
study was carried out on the 6 stocks in the Jakarta Islamic Indexs (JII), based on before, while, and after global
financial crisis 2008. The first objective was analyzed by using run test. The result showed that most stocks were
random in three (before, while, and after) different periods. The second one was analyzed by searching number of
stocks that were random in the three periods. The result showed there was decreasing weak-form efficiency inthe
period before and while crisis and increasing in the period before and after global financial crisis 2008.

Deskripsi Alternatif :

Efficient markets could be classified into three forms: weak, semistrong, and strong. Weak-form efficiency sug-
gested that security prices reflected all trade-related information, such as historical security price movements and
volume of securities trades, so they did not relate to current price and volume. In other words historical price
movements was independent or random over time. Thus, test of weak-form efficiency related to random walk
theory. This research had two objectives. The first objective was to analyze whether Indonesian capital market was
efficient (weak-form). The second one was to analyze increasing efficient market in two different periods. The
study was carried out on the 6 stocks in the Jakarta Islamic Indexs (JII), based on before, while, and after global
financial crisis 2008. The first objective was analyzed by using run test. The result showed that most stocks were
random in three (before, while, and after) different periods. The second one was analyzed by searching number of
stocks that were random in the three periods. The result showed there was decreasing weak-form efficiency inthe
period before and while crisis and increasing in the period before and after global financial crisis 2008.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiDiploma 3 of Finance and Banking Merdeka University Malang
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.