ANALISIS SEKURITAS DI PASAR MODAL KECIL: PENGAMATAN DI BURSA EFEK JAKARTA



Suad Husnan(1*)

(1) Universitas Gadjah Mada
(*) Corresponding Author

Abstract


Efisiensi informasi nampaknya mengalami peningkatan di Bursa Efek Jakarta (BEJ). Proses belajar untuk melakukan analisis rasional nampak terlihat pada pasar perdana. Gejala thin trading, sebagai gejala yang umum terjadi di bursa kecil, juga dijumpai di BEJ. Meskipun standard CAPM nampaknya tidak berlaku di BEJ banyak saham yang mempunyai beta yang stabll. Akhirnya perkembangan pasar modal selama akhir 1993 menunjukkan bahwa hubungan antara money dan capital market menjadi makin erat. Peningkatan harga saham selama semester dua 1993 leblh banyak disebabkan karena penurunan tingkat bunga dari pada kenaikan profitabilitas perusahaan.

Keywords


Analisis Sekuritad, Pasar Modal, Bursa Efek Jakarta

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References

Dawson, S., 1984, "The Trend Toward Efficiency for Less Developed Stock Exchange: Hong Kong", Journal of Business Finance and Accounting, pp.151- 161. Dimson, E., 1979, "Risk Measurement When Shares are Subject to Infrequent Trading", Journal of Financial Economics, pp. 197-216. Elton, E.J, and Gruber, M.J., 1991, Modern Portofolio Theory and Investment Analysis, John Wiley and Sons Husnan, S., 1991-, "Pasar Modal Indonesia: Makin Efisienkah?", Management & Usahawan Indonesia, Juni. Husnan, S., 1993, "The First Issues Market: The Case of Indonesian Bull Market", mimeo, Faculty of Economics, Gadjah Mada University. Husnan, S. and Theobald, M., 1993, "Thin Trading and Index Sensitivity in Events Studies: The Case of the Indonesian Stock Market", Researh in Third World Accounting, vol. 2, pp.353-367. Ross, S.A., 1976, "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, pp.341-360. Sharpe, W.F., and Alexander, G.J., 1989, Fundamentals of Investments, Prentice Hall. Yacout, N.M., 1980, Capital Markets in Developing Countries, Unpublished Ph.D thesis, Department of Accounting & Finance, University of Birmingham, England.



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