Analisis Efficient Market Hypothesis (EMH) di Bursa Saham Syariah, 2005:1 – 2008:11
Abstract: Study on sharia
stocks exchange takes an important place and consideration since transactions
and financial activities within a stocks exchange market will determine the
mode of market itself and will have impact on economic activities in a country
where the market is established. This paper is mainly focused to oversee sharia
stocks exchanges in Indonesia, United States, Saudi Arabia, and Malaysia using
efficient market hypothesis (EHM) method. Data used in this study were
collected from monthly sharia stocks exchanges index from 2005:1 to 2008:11.
There are three types of market in EHM method, i.e. weak, least-strong, and
strong market. Econometric test procedures used in this study involve data
stationery and Granger causality tests. Data stationery test indicates that all
variables are stationer at first difference, I(1). It implies that sharia
stocks exchanges in Indonesia, United States, and Malaysia tend to be weak,
while in Saudi Arabia it tends to be least-strong.
Keywords: sharia stocks price
index, efficient market hypothesis
Penulis: Malik Cahyadin, Devi
Oktaviana Milandari
Kode Jurnal: jpperadabanislamdd090074
