1. Testing Market Efficiency
Adler Haymans Manurung
Guru Besar
ABFI Institute Perbanas

2. Market Efficiency Proposed By Fama (1970) Bentuknya
Weak Form Efficient
Semi-Strong Efficient
Strong Efficient
Fama (1991) Revised
tests for return predictability
event studies
tests for private information

3. Form of Market Efficiency
All Information will be reflected on prices
Insider Information
Strong Efficient
Public Information
Semi-Strong Efficient
Weak-Form
Efficient
Past Price and Volume
Weak – Form Efficient

5. Weak-Form Efficient
Korelasi
Run Test
Variance Ratio
Fractal Analysis

6. Correlation Test Decisions: t < T table Terima H0
t > T table Tolak H0
Table : α%, dof = n-2

8. Run Test
Ada tiga perubahan: Positif, Negatif dan Nol

9. Untuk N > 20
Sumber: Siegel (…); Non Parametrik

11. Semi-Strong Efficient
Ball and Brown
Abnormal Performance Index

12. Strong Efficient
Ahlinya Seyhun (2000)
Block Sales