PENGUJIAN EFISIENSI MARKET HIPOTESIS PRA DAN PASCA MEA ( PENDEKATAN JOHANSEN COINTEGARTION TEST )

Riyanti Riyanti, Gilang Pandu Palagan

Abstract


The purpose of this study to test the efficiency of capital markets (EMH) before and after the MEA. Sample used in this research consisted of 5 members of the MEA; Indonesia, Singapore, Thailand, Philippines and Malaysia with a monthly observation period of 5 years after and before the MEA. Tests conducted by the method of Johansen Cointegration Test and showed that the EMH does not occur in the Indonesian capital market after the MEA.

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