Abstract

 

Efficient markets can be classified into three forms: weak, semistrong, and strong. Weak-form efficiency suggests that security prices reflect all trade-related information, such as historical security price movements and volume of securities trades, so they don't relate with current price and volume. In other words historical price movements independent or random walk theory. This research has two objectives. The first objective is tomanalyze whether Indonesian capital market (convensional and syari'ah) has been efficient (weak-form). the second one is to analyze differentiation efficient market between convensional and syari'ah capital market periode 2010. The study was carried out on 20 stocks in LQ-45 indexs and the 4 stocks in the Jakarta Islamic indexs (JII). The first objective was analyzed by using run-test. The result shows that Indonesian Stocks Exchanges (IDX) convensional and syari'ah was efficient (weak-form). the second one was analyzed by searching number stocks that is random in convensional capital market as well as syariah capital market. the result shows that there are 13 (65%) stock price randomly in conventional capital market and 4 (100%) stock price randomly. based on that, syariah capital market is more efficient than conventional capital market.

 

Keywords : conventional and syariah capital market, LQ-45, jII, random, weak form, semistrong, strong