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Pendeteksian Market Information yang Mempengaruhi Kerja Bursa Efek Indonesia
Abstract
Tujuan yang ingin dicapai dari penelitian ini adalah melakukan kajian empiris Efficient Market Hipotesis (EMH) dan melihat apakah terjadi anomali pasar berdasarkan return yang diperoleh dari pembentukan portfolio winner dan loser.Objek penelitian yang dipilih adalah saham LQ 45 yang terdaftar di BEI pada Tahun 2009 sampai dengan 2013. Metode analisis data yang digunakan adalah clustered analysis yang digunakan untuk membentuk kelompok-kelompok portfolio winner dan losser yang mempunyai konsekuensi terhadap Efficient Market Hipotesis (EMH). Selanjutnya akan disusun suatu strategi dalam perspektif manajemen agar investor melakukan investasi dengan lebih cerdas (sophisticated) dalam jangka panjang.
Kata kunci: anomali pasar, portfolio winner, portfolio loser
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DOI: https://doi.org/10.47007/jeko.v5i2.1137
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