Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia, Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008

Jurnal Inspirasi Bisnis dan Manajemen

Alia Tri Utami¹ 

[1] Padjadjaran University

关键词: Market Efficiency;    Emerging stock market;    Efficient Market Hypothesis;    Ljung - Box test;    ADF test;    Run test;   

DOI  :  

学科分类：社会科学、人文和艺术（综合）

来源: Lembaga Penelitian Universitas Swadaya Gunung Jati

【 摘 要 】

This research empirically investigates the impact of the global economic crisis in 2008 on the efficiency of three Asian stock markets, namely the Indonesia Stock Exchange (IDX), the Malaysia Stock Exchange (MYX), and the Korea Stock Exchange (KRX) as an emerging market. Weak market form efficiency will be tested on this research. Using the daily closing price data of the composite index for 11 years which is divided into three periods, namely before the crisis (1 January 2006 — 30 June 2007), during the crisis (1 July 2007 - 31 December 2008), and after the crisis (1 January 2009 - 30 November 2017. This study applies parametric and non-parametric method with three statistical tests, namely Ljung - Box test, run test, and ADF test. The results of the study, show mixed results for various indices. Moreover, the results of this study can provide input to investors in investing in emerging stock markets.

【 授权许可】

CC BY-SA