BENTUK PASAR EFISIENSI DAN PENGUJIANNYA
:
https://doi.org/10.9744/jak.4.1.pp.%2054-68Keywords:
efficient market hypothesis, weak form market efficiency, semi-strong form market efficiency, strong form market efficiency, anomaly.Abstract
This paper discusses and summarizes the efficient market hypotheses initially proposed by Fama (1970). According to the efficient market theory, the market is said to be efficient if 'security prices reflect all available information'. Fama (1970) contends that there are three types of market efficiency, namely weak form market efficiency, semi-strong form market efficiency, and strong form market efficiency. Over the last three decades, the efficient market theory has become the center of research interest and has attracted attention, which has contributed to the development of corporate finance theory. Empirical evidence however appears to support that the American stock market is classified to be the semi-strong form. This means that the information that forms the price in the market has been dominated by historical and public information, although the clear cut is still unwarranted. Other interesting aspect of the efficient market hypothesis is the strong evident of anomaly in the market, which appear to confront the efficient market hypothesis. There are at least four types of market anomalies that have been identified, namely firm anomalies, seasonal anomalies, event anomalies, and accounting anomalies. Abstract in Bahasa Indonesia : Tulisan ini membahas dan merangkum hipotesis pasar efisien sebagaimana pertama kali dikemukakan oleh Fama (1970). Menurut konsep pasar efisien, pasar dikatakan efisien bilamana harga-harga yang terbentuk di pasar merupakan cerminan dari informasi yang ada. Menurut Fama (1970), ada tiga bentuk tingkat efisiensi pasar berdasarkan pada tingkat penyerapan informasinya, yaitu pasar efisien bentuk lemah, pasar efisien bentuk semi kuat, pasar efisien bentuk kuat. Teori efisiensi pasar telah menjadi acuan kajian yang mendapat perhatian luas selama tiga dasawarsa terakhir dan menjadi topik paling menarik dalam perkembangan teori keuangan perusahaan. Bukti empiris yang sejauh ini telah dikemukakan cenderung mendukung hipotesis bahwa pasar modal di Amerika cenderung berbentuk efisien dalam tingkat semi-kuat. Artinya, informasi yang membentuk harga di pasar masih didominasi oleh informasi historis dan informasi publik, walaupun dalam banyak hal masih belum dapat dikatakan pasti. Sisi menarik lain yang terkait dengan hipotesis pasar efisien adalah ditemukannya anomali yang dalam banyak hal sepertinya mementahkan konsep efisiensi pasar yang berkembang selama ini. Setidaknya ada empat kelompok anomali yang dikenal sejauh ini, yaitu anomali perusahaan, anomali musiman, anomali peristiwa atau kejadian, dan anomali akuntansi. Kata kunci: hipotesis pasar efisien, pasar efisien bentuk lemah, pasar efisien bentuk semi kuat, pasar efisien bentuk kuat, anomali.Downloads
Published
2004-06-14
How to Cite
Gumanti, T. A., & Utami, E. S. (2004). BENTUK PASAR EFISIENSI DAN PENGUJIANNYA. Jurnal Akuntansi Dan Keuangan, 4(1), pp. 54-68. https://doi.org/10.9744/jak.4.1.pp. 54-68
Issue
Section
Articles
License
Authors who publish with this journal agree to the following terms:
- Authors retain the copyright and publishing right, and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) followingthe publication of the article, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).<a href="http://creativecommons.org/lice