Efficient Market Hypothesis Analysis on the Indonesian Stock Exchange on the Asean Stock Market

Abstract

This research aims to analyze the performance of Indonesia Stock Exchange to ASEAN stock market during the period 2018-2022. The technique of determining the sample using purposive sampling method and 6 countries as samples are Indonesia, Singapore, Malaysia, Vietnam and Philippines. Hypothesis testing in this study used Descriptive Statistics Analysis, Test Run and Kolomogorov Smirnov with a significance level of 0.05. Test results show that: (1) Indonesia Stock Exchange has the highest efficient rating in ASEAN stock market (2) ASEAN Stock Exchange effect on Indonesia Stock Exchange. (3) The Indonesia Stock Exchange has a stock return pattern that fluctuates normally in the ASEAN stock market.