Analisis Efficient Market Hypothesis (EMH) di Bursa Saham Syari'ah 2005:1 - 2008:11  

Oleh:

Saleh, Samsubar

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: Jurnal Ekubank: Ekonomi Keuangan Dan Perbankan no. 02 (Jul. 2009), page 11.
Topik: Syari'ah-based stock market index; Efficient Market Hypothesis (EMH)

Ketersediaan

Perpustakaan PKPM Nomor Panggil: J122 Non-tandon: tidak ada Tandon: 1

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Isi artikel

The analysis on syari'ah-based stock market has become so important to be conducted since the transactions of stock exchange at a particular country will affect not only on the shape of stock market it self but also on the economi condition of the country. The paper emphasizes on the condition of the syari'ah-based stock exchange in Indonesia, United states of America (USA), Saudi Arabia and Malaysia by using efficient market hypothesis (EMH). The data used in this study were gathered from monthly index of stock exchange at those markets from 2001:1to 2008:11. According to EMH analysis, stock marketis classified into three categories: weak form, semi-strong from and strong form. The econometric test such as stationary data test and Granger-causality test were used in this study. From stationary test, it is found that all variables are at the first differences, I(1). it indicates that the syari'ah-based stock market in Indonesia, United States of America and Malaysia have the tendencies to be the weak form. Meanwhile, the Saudi Arabia syari'ah-based stock exchange tends to be semi-strong form.

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