Indonesia Conference Directory

Indonesian capital market is very important in developing Indonesias economy by getting a cheap funding for their industry. Industry in the Indonesian capital market there are a variety of products was traded like bonds, mutual funds, equity or shares, warrant or option. The phenomenon from stock trading on the Indonesia Stock Exchange is very diverse like how to analyze stock price movements. Investors try to analyze stock prices with model like fundamental analysis or technical analysis. The capital market industry or the Stock Exchange must run its business with efficiently both in the companys operations or other efficiency such how to disseminate information that will be received by stock investors and efficiency in managing information so investors can know much. Eficient Market Hypothesis relates to the efficiency of information obtained by investors like transparency of information from private information like information each issuer and other information like public information that has been exposed to the public such as announcements of a rights issue or announcement of a companys stock withdrawal from the capital market. These announcements will usually have a significant effect on the share price on the Indonesia Stock Exchange, which will increase or decrease. The more efficient a capital market is all the information received will result in the movement of shares accurately and immediately so that it is considered to be unpredictable or randomly moving from day to day. The methodology of this research is will take data on the Indonesia Stock Exchange like the IHSG (composite stock price index) data in 2019 daily and will be proven whether the movement of the composite stock price index is random walk or not with use a Stochastic Process.