Does  INDONESIAN CAPITAL MARKET EFFICIENT?: A RELATION BETWEEN PRICE-VOLUME

Said Kelana Asnawi; Samuel  Pratama; Hans Christian Kurniawan; Samuel Yosua Rodjana

doi:10.31849/jieb.v20i2.13019

Said Kelana Asnawi Institut Bisnis dan Informatika Kwik Kian Gie
Samuel Pratama Institut Bisnis dan Informatika Kwik Kian Gie
Hans Christian Kurniawan
Samuel Yosua Rodjana Institut Bisnis dan Informatika Kwik Kian Gie

DOI: https://doi.org/10.31849/jieb.v20i2.13019

Keywords: market efficient hypothesis, trading volume, autoregressive, return

Abstract

Efficient markets show prices have reflected information. In an efficient market, the pattern of price movements is a random walk, meaning that prices cannot be predicted accurately, so investors do not get abnormal returns. The informations used in this study are: lag-return (r-1); lag return(r-2); trading volume, as well as the synergy between (r-1) and trading volume. This research found that the coefficient was not significant in almost all tests. Investors cannot use past information to get abnormal returns Thus the efficient market hypothesis is proven. This efficient market situation shows that all market participants have equal opportunities in terms of risk-return.

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