Pengujian efisiensi pasar dalam bentuk lemah dengan model univariate Box Jenkins: studi empiris di Bursa Efek Jakartaperiode 1999-2001
Hasibuan, Raja Amin. (Adv.: I Wayan Nuka Lantara, SE, M.Si.), I Wayan Nuka Lantara, SE, M.Si.
This research examines efficient market hypothesis (EMH) in weak form. The Economic crisis since middle of 1997 suspected possible to cause inefficiency market happened like decreasing market capitalization and trade volume.
Examination did by used Univariate Box-Jenkins or known as ARIMA. Forecasting done to Jakarta Composite Index (JCI) or IHSG and market return. In fact have gotten the best model for IHSG by ARIMA (10,1,10) and ARIMA (5,0,5) for retum with significant statistic coefficient. So we can say that Jakarta Stock Exchange' is inefficient in weak form for 1999-2001 periods.
Kata Kunci : Box jenkins, Bursa Efek Jakarta, Pasar modal, ARIMA
