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Efficient markets is important in studying capital markets. Market tested with several different parametric approach : the unit root test, autocorrelation test, and the ARMA model is used to test the market certainty. The purpose of this research is test the Indonesian stocks market efficiency by an...
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| Online Access: | https://digilib.itb.ac.id/gdl/view/15223 |
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| Institution: | Institut Teknologi Bandung |
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id-itb.:152232017-09-27T11:43:10Z#TITLE_ALTERNATIVE# DIAR ARIESTIANTO (NIM : 101060210; Pembimbing Tugas Akhir : Khreshna I.A. Syuhada, M.Sc, Ph., CHANDRA Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/15223 Efficient markets is important in studying capital markets. Market tested with several different parametric approach : the unit root test, autocorrelation test, and the ARMA model is used to test the market certainty. The purpose of this research is test the Indonesian stocks market efficiency by analyzing the pattern of random walk in stock price, as well as analyzing the autocorrelation of stock returns. Data used in this research is daily closing stock price of Indeks Harga Saham Gabungan (IHSG) from 27 October 2008 until 30 September 2011 period, and also data awakened from ARMA(1,1) model with the parameter (beta)1 = (beta)1 = 0:5 no autocorrelation. The result <br /> <br /> <br /> showed that all parametric methods showed that stock price follow a random walk pattern and no autocorrelation in stock return. Thereby, Indonesian stock exchange market is categorized as Weak form market efficiency. text |
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Indonesia Indonesia |
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Indonesia |
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Efficient markets is important in studying capital markets. Market tested with several different parametric approach : the unit root test, autocorrelation test, and the ARMA model is used to test the market certainty. The purpose of this research is test the Indonesian stocks market efficiency by analyzing the pattern of random walk in stock price, as well as analyzing the autocorrelation of stock returns. Data used in this research is daily closing stock price of Indeks Harga Saham Gabungan (IHSG) from 27 October 2008 until 30 September 2011 period, and also data awakened from ARMA(1,1) model with the parameter (beta)1 = (beta)1 = 0:5 no autocorrelation. The result <br />
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showed that all parametric methods showed that stock price follow a random walk pattern and no autocorrelation in stock return. Thereby, Indonesian stock exchange market is categorized as Weak form market efficiency. |
| format |
Final Project |
| author |
DIAR ARIESTIANTO (NIM : 101060210; Pembimbing Tugas Akhir : Khreshna I.A. Syuhada, M.Sc, Ph., CHANDRA |
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DIAR ARIESTIANTO (NIM : 101060210; Pembimbing Tugas Akhir : Khreshna I.A. Syuhada, M.Sc, Ph., CHANDRA #TITLE_ALTERNATIVE# |
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DIAR ARIESTIANTO (NIM : 101060210; Pembimbing Tugas Akhir : Khreshna I.A. Syuhada, M.Sc, Ph., CHANDRA |
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DIAR ARIESTIANTO (NIM : 101060210; Pembimbing Tugas Akhir : Khreshna I.A. Syuhada, M.Sc, Ph., CHANDRA |
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https://digilib.itb.ac.id/gdl/view/15223 |
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1820737420919832576 |