Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020

Abstract

Abstract This study aims to examine the efficiency of the weak form market in the pharmaceutical and telecommunications sectors in the Indonesian capital market during the 2017-2020 period (1 January 2017 – 30 December 2020) and the 2020 Covid-19 period (1 January 2020 – 30 December 2020). The data used in this study is daily stock closing prices. Jarque-Bera normality test, Ljung Box autocorrelation test to assess serial dependencies, run test, and Augmented Dickey Fuller (ADF) to test the random walk hypothesis were among the statistical tests utilized. The pharmaceutical and telecommunications sectors were in poor shape during the research period, according to the findings. This research offers guidance to potential funders as well as future researchers. JEL classification numbers: G14, G19. Keywords: Efficient Market Hypothesis, Random Walk Hypothesis, Covid-19.