Weak Form Market Efficiency of Structured Warrants in Indonesia Stock Exchange

Mu’amar Andi Karunianto, Robiyanto Robiyanto


Research on the Efficient Market Hypothesis has been widespread, but few studies have examined market efficiency in other financial markets such as structured warrants recently issued by the Indonesia Stock Exchange. This study is devoted to examining the market efficiency in the weak form of structured warrants using 13 structured warrants listed on the Indonesia Stock Exchange. This study aims to analyze the weak efficiency of structured warrants. The data used in this study is the daily closing price data of structured warrants that have been listed on the stock exchange for more than 3 months at the time of this research on March 18, 2023. This data was obtained from RHB Warrant. The analytical tools used are Runs Test, followed by Unit Root Test and Correlogram for Robustness Checking. The result of this study is that structured warrants are efficient in weak form. This indicates that the price of structured warrants is a random walk; therefore, technical analysis cannot be applied to predict the price of structured warrants. The results of this study suggest that traders or investors of structured warrants in trading structured warrants on the Indonesian stock exchange do not use technical analysis.

Keywords: Indonesia Stock Exchange; Structured Warrants; Market Efficiency; Runs Test; Weak Form.

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