The Stock Market of Infrastructure Sector: A Weak-Form EMH Test

Infrastructure is one of important aspects in economic growth. Several policies made by the government of Indonesia is believed to be able to generate a positive sentiment on this sector and make this sector enthused by the investors. This research aims to test the weak-form Efficient Market Hypothesis (EMH) on Infrastructure Sectoral Stock Price Index (IHSS INFRA). EMH testing is important to undertake because it can help investors in making the right investment decision. The weak-form EMH testing on IHSS INFRA is conducted through unit root test, autocorrelation test, and runs test. The result of runs test shows that IHSS INFRA is efficicent at weak-form. Meanwhile, the result of unit root test and autocorrelation test indicate that IHSS INFRA is inefficient at weak-form. Therefore, it can be said that IHSS INFRA tends to be inefficient at weak-form.