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"Suatu pasar modal dinyatakan efisien jika harga dari surat-surat berharga segera mencerminkan nilai perusahaan secara akurat berdasarkan informasi relevan yang tersedia. Berdasarkan informasi yang tersedia di pasar modal, Fama membagi tingkat efisiensi pasar menjadi tiga kategori yakni : Weak form,Semi strong, Strong form market. Pembedaan pasar disini dilakukan berdasarkan asumsi tentang jumlah dan jenis informasi yang masuk ke pasar dan cepat atau lambatnya informasi tersebut berpengaruh pada pasar, seperti tercermin dari adanya perubahan harga. Semakin cepat informasi sampai ke pasar dan semakin cepat informasi tersebut berpengaruh pada pasar, semakin mendekati ciri efisiensi pasar bentuk kuat. Semakin lengkap dan merata informasi tersebar ke semua pelaku pasar, semakin mendekati ciri efisiensi pasar bentuk kuat.Penelitian mencoba meneliti dari sudut pandang pasar dan tidak mengamati struktur yang mendasarinya. Uji yang dilakukan adalah uji kerandoman(runs test) dan uji autocorrelation lest dengan nilai statistik Ljung Box(LB). Penelitian mengambil renlang return harian, return mingguan, return bulanan. Hasil kedua uji dapat menyimpulkan apakah BEJ sudah mencapai random walk untuk bisa dikategorikan pasar yang efisien.Uji kerandoman dan autocorrelation test dengan daily return menunjukkan bahwa THSG dan indeks LQ45 dalam kurun waktu 1999-2004, bergerak tidak random dan tidak independen dengan data sebelumnya untuk lag 1-10, sedangkan uji runs test dan autocorrelation test dengan data weekly return menunjukkan IHSG dan LQ45 bergerak secara random dan tidak berkorelasi dengan data sebelumnya(lag 1-10, kecuali lag5&6) dan didukung oleh sampel sebanyak 4I saham(91,2%). Jika menggunakan data monthly return IHSG dan LQ45 bergerak random dan tidak berkorelasi dengan data sebelumnya yang didukung oleh 43 saham(95,6%). Menurut hipotesa efisien market dengan data daily return maka bursa saham di BEJ dapat dikategorikan sebagai pasar yang tidak efisien dalam bentuk lemah.

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Jsx Indeces reached his top of his history at 815,17 on 21 April 2004. This moment show that Jakarta Stock Exchange git high interest of investor to invest his money. So absolutely each investor must try to get highest his return to beat the market. And each investor compete to get abnormal return and increase his wealth. This Excellent moment should be point of view as opportunity to have optimal return.Capital Market is categorized as efficient if price of securities reflect all available information immediately. So each any changes in information should be reflect on changing price of securities.Behind of information which available on market, Fama classified market efficiency on three categories : Weak, Semi Strong, Strong Market. Any categorizing here based on assumption quantity and kind of information that available on market and reflect to the market, as happen on changing on price of securities. Information reflect changes on price quickly, it's capital market more efficient. All information its became complete and distribute on wide range, it's closely to efficient market.Random test and autocorrelation test based on historical data1999-2004, which used daily return show that IHSG and LQ 45 move correlated and not random. So BEJ and LQ 45 can be categorized as uneficient in Weak Form."

"This paper empirically examines the efficient market hypothesis (EMH) in the Islamic stock marketnamely Jakarta Islamic Index by emphasizing on the random walk behavior and nonlinearity. Inthe first step, we employ Brock et al. (1996) test to examine the presence of nonlinear behavior inJakarta Islamic Index. The evidence of nonlinear behavior in the indices, motivate us to use nonlinearESTAR unit root test procedure recently developed by Kapetanios et al. (2003) and Kruse (2011).The nonlinear unit root test procedure fail to rejects the null hypothesis of unit root for the indices,suggesting that Jakarta Islamic Index characterized by random walk process supporting the theoryof efficient market hypothesis. In addition, Lumsdaine and Papel (LP) test identified significant structuralbreaks in the index series."

"This paper investor reaction to the good news and bad news earnings announcements around earning announcements dates. The result show that investor react positively and significantly to the good news and bad news earnings announcements of 1998 and 1999 at the announcement dates, but respond negatively and significantly to the good news and bad news earnings announcements of year 2000. Statistically there is no significant difference in investor reaction to the good news and bad news earnings announcements for three years. However the study finds two market anomalies. Firstly investors respond positively and significantly to the bad news earnings announcement of year 1998 and 1999 as well as respond negatively to the good news earnings announcement of year 2000. Secondly the magnitude of CAAR values of the bad news earnings announcement is greater that CAAR values of the good news earnings announcements. These evidence are contrary with the efficient market theory (efficient market hypothesis-EMH)"

"Konsep Fractal Market Hypothesis (FMH) dalam pasar modal muncul sebagai alternatif teori Efficient Market Hypothesis (EMH) yang mampu menunjukkan kelemahan teori portofolio modern yang mengasumsikan bahwa investor bersifat rasional, pasar efisien, dan random walk. Fraktal mempunyai karakteristik yang tidak random, melainkan memiliki pola. Fraktal mengalami perulangan pola atau struktur dengan skala dan ukuran yang berbeda, dan menunjukkan adanya trend. Penelitian ini merupakan studi empiris yang bertujuan untuk mengetahui apakah konsep fraktal berlaku terhadap return harian indeks LQ45 dan lima saham perbankan yang bertahan dalam kelompok LQ45 selama periode 2 Juni 2008 sampai dengan 1 September 2009. Dalam penelitian digunakan analisis Rescaled Range (R/S) dan nilai eksponen Hurst (H) untuk melihat karakteristik pergerakan return, mengukur tingkat risiko, mengukur korelasi dan melihat dimensi fraktal. Berdasarkan hasil penelitian dapat disimpulkan bahwa pergerakan harga return harian indeks LQ45 dan lima saham perbankan kelompok LQ45 di BEI lebih mendekati asumsi FMH dengan konsep bias random walk, investor terdiri dari berbagai horison investasi dan pergerakan return saham dari waktu ke waktu mempunyai keterkaitan.

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Fractal Market Hypothesis (FMH) turns up in the capital market as an alternative theory for Efficient Market Hypothesis (EMH). The EMH assumes that investor have rational character, efficient market and random walk. This study is an empirical study to identify whether the EMH concept is still suitable for the LQ45 stocks return or applies to the Hurst process which is biased random walk in nature and which is in accordance with the FMH concept emphasizing the effect of the liquidity and the horizon of the investor behavior. FMH concept uses Rescaled Range analysis as a statistical processing tool and Hurst value used to measure the degree of risk. The result of this study shows that the FMH assumptions are more realistic than the EMH assumptions and do happen on the Indonesian Capital Market, especially for LQ45."

"In this research we test market efficiency in Indonesia Stock Exchange (IDX) by examining whether stock price changes is independent of past changes or not, and examining do profitability, liquiditiy, debt, and market value infortion of the firms have influence on stock returns, hence these information can be used to estimate the future stock returns. We use stock price and return as dependent variable, and financial ratios as independent variables. We have applied Ljung-Box Q-Test and regression to analyze the data, and collected the data of companies from the Indonesia Stock Exchange from the year 1994 to 2005. The sample size consists of 77 companies from all sector companies of LQ 45 Index. Ljung-Box Q-Test result has shown that the significant amount of lag are 16, therefore there is autocorrelation between current price and previous price, and we conclude that market is not efficient in weak-form. Meanwhile, regression results have shown that profitability information (ROA) has negative significant effect on stock returns, while ROE has positive significant influence on stock returns. As one of market value information, dividend has positive significant influence on stock returns. However, sales to asset (SALASS), all debt information (TLTE, LTLTE, and TLTA), liquidity information (current ratio), and price to earning ratio (PER), have insignificant effect on stock returns."

"Tesis ini membahas gejala overreaction di Bursa Efek Indonesia secara khusus terhadap 38 saham sektor industri dasar dan kimia selama periode 2006-2011. Metode yang digunakan adalah metode komparatif antara portofolio winner dan loser. Periode penelitian dibagi menjadi 2, yaitu 6 bulan dan 12 bulan. Penelitian ini menemukan beberapa gejala overreaction, baik pada observasi 6 bulan maupun 12 bulan, namun secara statistik tidak signifikan. Selain itu juga ditemukan bahwa gejala overreaction bersifat asimetris, yaitu lebih terlihat pada salah satu portofolio. Hasil penelitian menunjukkan Bursa Efek Indonesia efisien dalam bentuk lemah, sehingga penerapan strategi kontrarian diperkirakan akan merugikan untuk diterapkan pada segmen pasar ini.

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The purpose of this study is to examine the indication of overreaction in Indonesian Stock Exchange with case study Basic Industry and Chemical sector during 2006-2011. Methods employed in this thesis is comparative method which comparing between winner and loser portfolios. Time horizons in this research were separated into two periods, 6 and 12 months.

As result, the research found that overreaction indications were evidence, but no significance statistically. The research also found that overreaction is asymmetrical, which seems more often appear in the loser portfolios.

This result may support that Indonesian Stock Market is efficient in weak form, thus contrarian investing strategy would consider as not profitable to implement."

"ABSTRAKWe use a generalized autoregressive conditional heteroskedasticity dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to 2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are investigated. The most striking day-of-the-week effect is found for Tuesdays. The turn-of-the-month effect is validated, while, interestingly, we find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and post-holiday effect, the Chinese market is anomalous before public holidays, and the South African market is affected only after holidays."

"ABSTRAKPenelitian ini bertujuan untuk menganalisis gejala overreaction pada 113 saham perusahaan manufaktur di Bursa Efek Indonesia selama periode 2008-2014. Metode yang digunakan adalah model market adjusted return yang memberikan perbandingan antara portofolio saham winner dan saham loser dan metode event windows. Periode penelitian yang dibagi menjadi 6 replikasi dengan periode formasi dan periode observasi di dalamnya. Periode penelitian juga dibagi kedalam 3 event. Penelitian ini menemukan beberapa gejala overreaction, tetapi secara statistik tidak ditemukan adanya gejala overreaction, baik untuk observasi secara keseluruhan pada saham manufaktur tanpa terdapat political event di dalamnya, maupun terdapat political event di dalamnya. Hasil penelitian menunjukkan bahwa saham industri manufaktur tidak terjadi gejala overreaction pada 6 replikasi, sedangkan pada event windows ditemukan gejala overreaction pada event ketiga. Reshuffle kabinet yang terdapat pada event ketiga telah menunjukkan terjadinya gejala overreaction dalam saham manufaktur.

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ABSTRACTThe purpose of this research discuss about the indication of overreaction on 113 manufacture companies? stock in Indonesia Stock Exchange for 2008?2014 era. The method that used is ?model market adjusted return? which show comparison between stock winner?s portfolio and stock loser, and also event windows method. The stage of the research was divided into 6 replications with formation stage and observation stage inside it. The stage of research also divided into 3 events. This research found some indication of overreaction, but statistically there is no indication of overreaction found, as in full observation on manufacture stock without political event or with political event inside it. The result of this research shows that indication of overreaction is not found in manufacture industry stock on 6 six replications, while on event windows there is indication of overreaction on third event. Cabinet reshuffle that happened on third event shows that the indication of overreaction occurred in manufacture stock."

"This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia,Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time spancovered by the samples are from 2009 to 2014, with the total number of observations for spot and forwardexchange rate data amounting to 1565 data points. This study uses three different approachesto examine efficiency within countries and across countries. The result of this study shows that foreignexchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficientacross countries, especially when the country has a bivariate relationship with Thailand’s foreignexchange market. The main implication of this study is that investors in the ASEAN-5 market cannotobtain abnormal returns using technical analysis on within countries foreign exchange market. Inaddition, there is no significant differences for participants in the foreign exchange market whetherthey are using hedging or not hedging."