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Discussion Paper 02 - Hipotesis Pasar Efisien

Discussion Paper 02 - Hipotesis Pasar Efisien

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Published by Rowland Pasaribu
The efficient market hypothesis is concerned with establishing the prices of
capital market securities and states that the prices of securities fully and fairly
reflect all relevant available information (Fama, 1970). Market efficiency
therefore refers to both the speed and the quality (i.e. direction and
magnitude) of the price adjustment to new information. The testing of
markets for efficiency has led to the recognition of three different levels or
forms of market efficiency. Empirical tests of the efficiency of capital markets
have investigated the extent to which share prices (security prices) reflect
relevant information (i.e. pricing efficiency) because of a lack of data for
testing allocational efficiency and operational efficiency.
The efficient market hypothesis is concerned with establishing the prices of
capital market securities and states that the prices of securities fully and fairly
reflect all relevant available information (Fama, 1970). Market efficiency
therefore refers to both the speed and the quality (i.e. direction and
magnitude) of the price adjustment to new information. The testing of
markets for efficiency has led to the recognition of three different levels or
forms of market efficiency. Empirical tests of the efficiency of capital markets
have investigated the extent to which share prices (security prices) reflect
relevant information (i.e. pricing efficiency) because of a lack of data for
testing allocational efficiency and operational efficiency.

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Published by: Rowland Pasaribu on Aug 31, 2009
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05/19/2013

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H
IPOTESIS
P
ASAR
E
FISIEN
 
Rowland Bismark Fernando Pasaribu
 
DISCLAIMER:
Kertas kerja staff pada Serial Diskusi ECONARCH Institute adalah materi pendahuluan yang disirkulasikan untuk menstimulasi diskusi dan komentar kritis.Analisis dan kesimpulan yang dihasilkan penulis tidak mengindikasikan konsensusanggota staff penelitian lainnya, BOD atau institusi. Referensi pada publikasi SerialDiskusi harus dinyatakan secara jelas oleh penulis untuk melindungi karaktetentatif pada kertas Diskusi ini.
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HIPOTESIS PASAR EFISIEN
1
 
Abstract
The efficient market hypothesis is concerned with establishing the prices ofcapital market securities and states that the prices of securities fully and fairlyreflect all relevant available information (Fama, 1970). Market efficiencytherefore refers to both the speed
and
the quality (i.e. direction andmagnitude) of the price adjustment to new information. The testing ofmarkets for efficiency has led to the recognition of three different levels orforms of market efficiency. Empirical tests of the efficiency of capital marketshave investigated the extent to which share prices (security prices) reflectrelevant information (i.e. pricing efficiency) because of a lack of data fortesting allocational efficiency and operational efficiency.Keyword :
efficient market hypothesis
,
random-walk theory,
PENDAHULUAN
Hipotesis efisien pasar atau dikenal juga sebagai teori
random-walk
adalah proposisi yang menyatakan harga saham saat ini merefleksikan secarapenuh informasi yang tersedia mengenai nilai perusahaan dan tidak ada caralain untuk menghasilkan keuntungan melebihi pasar secara keseluruhandengan menggunakan informasi tersebut. Teori ini membahas salah satu isuyang sangat fundamental pada manajemen keuangan mengenai fluktuasiharga di pasar modal dan bagaimana positioning fluktuasi tersebut. Keduaisu ini memiliki implikasi penting baik itu investor dan manajemer keuangan.Terminologi “efisiensi pasar” pertama kali muncul pada jurnal-nya E.F Famatahun 1965 yang mengatakan bahwa dipasar yang efisien secara rata-ratakompetisi akan menyebabkan pengaruh penuh pada informasi barumengenai nilai intrinsik untuk direfleksikan secara instant pada harga aktualsaham.Banyak investor mencoba untuk mengidentifikasi saham yang
under-valued
, dan yang diharapkan untuk meningkat nilainya dimasa mendatang,khususnya saham yang peningkatannya lebih besar dibanding lainnya.Banyak juga investor, termasuk manajer investasi yang percaya bahwa
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