Analisis Efisiensi Pasar Bentuk Lemah pada Indeks LQ45 di Bursa Efek Indonesia Periode 2021-2025

Abstract

This study aims to evaluate the weak-form efficient market hypothesis in the Indonesian capital market, specifically focusing on the LQ45 index from April 2021 to April 2025. This period captures the post-pandemic economic recovery characterized by high market volatility and a surge in retail investor participation driven by information digitalization. Using a descriptive quantitative approach, data on daily adjusted closing prices from 30 consistently listed stocks were transformed into logarithmic returns. Testing was conducted using the non-parametric Run Test to evaluate the random walk hypothesis after validating the data with the Augmented Dickey-Fuller Unit Root Test. The empirical results reveal that 17 stocks (56.67%) follow a random walk, while 13 stocks (43.33%), including major blue-chips like BBCA and BBRI, exhibit highly significant non-random movements. This indicates that the Indonesian capital market has not fully achieved a perfect weak-form efficiency. The implications of this research offer tactical insights for investors utilizing technical analysis to gain abnormal short-term returns and serve as a strategic reference for regulators to optimize market literacy in the digital era