International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064


Downloads: 117 | Views: 236

Research Paper | Economics | Indonesia | Volume 6 Issue 2, February 2017


The Stock Market of Infrastructure Sector: A Weak-Form EMH Test

Adi Gunarso | Hermanto Siregar [10] | Tony Irawan [3]


Abstract: Infrastructure is one of important aspects in economic growth. Several policies made by the government of Indonesia is believed to be able to generate a positive sentiment on this sector and make this sector enthused by the investors. This research aims to test the weak-form Efficient Market Hypothesis (EMH) on Infrastructure Sectoral Stock Price Index (IHSS INFRA). EMH testing is important to undertake because it can help investors in making the right investment decision. The weak-form EMH testing on IHSS INFRA is conducted through unit root test, autocorrelation test, and runs test. The result of runs test shows that IHSS INFRA is efficicent at weak-form. Meanwhile, the result of unit root test and autocorrelation test indicate that IHSS INFRA is inefficient at weak-form. Therefore, it can be said that IHSS INFRA tends to be inefficient at weak-form.


Keywords: developing country, infrastructure, random-walk, stock market, weak-form efficient market hypothesis


Edition: Volume 6 Issue 2, February 2017,


Pages: 1790 - 1793


How to Download this Article?

Type Your Valid Email Address below to Receive the Article PDF Link


Verification Code will appear in 2 Seconds ... Wait

Top