Efficient Market Hypothesis Analysis on the Indonesian Stock Exchange on the Asean Stock Market

Daniel Fernando Siahaan

doi:10.55927/fjas.v2i12.7134

Authors

Daniel Fernando Siahaan Prodi Magister Ilmu Manajemen Universitas Sumatera Utara

DOI:

https://doi.org/10.55927/fjas.v2i12.7134

Keywords:

Efficient Market Hypothesis, Stock Market, Stock Return

Abstract

This research aims to analyze the performance of Indonesia Stock Exchange to ASEAN stock market during the period 2018-2022. The technique of determining the sample using purposive sampling method and 6 countries as samples are Indonesia, Singapore, Malaysia, Vietnam and Philippines. Hypothesis testing in this study used Descriptive Statistics Analysis, Test Run and Kolomogorov Smirnov with a significance level of 0.05. Test results show that: (1) Indonesia Stock Exchange has the highest efficient rating in ASEAN stock market (2) ASEAN Stock Exchange effect on Indonesia Stock Exchange. (3) The Indonesia Stock Exchange has a stock return pattern that fluctuates normally in the ASEAN stock market.

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