Vol. 6 No. 1 (2025): Science Proceedings Series
9th ASIA Internatational Multidisciplinary Confernece 2025

Analysis of Capital Market Efficiency in Indonesia

Vebry M Lumban Gaol
https://orcid.org/0009-0007-2503-8426 (unauthenticated) Universitas Sumatera Utara, Indonesia
Galih Supraja Universitas Sumatera Utara, Indonesia
Noor Marini Haji Abdullah Universiti Teknologi MARA, Cawangan Kelantan, Malaysia

Published 2025-09-10

Keywords

  • Capital Market,
  • Efficiency,
  • Stock Market,
  • Stock Mutual Funds

How to Cite

Analysis of Capital Market Efficiency in Indonesia. (2025). Science Proceedings Series, 6(1), 35-36. https://doi.org/10.31580/0jbyr673

Abstract

The capital market has high volatility, especially in recent years, and the most frequently asked question in the capital market is whether the capital market in Indonesia is efficient. The purpose of this study is to evaluate the level of efficiency of the Indonesian strong form capital market by comparing the performance of the stock market and equity mutual funds. Daily secondary data for 2024 is the type of data used in this study. Jensen Index, Sharpe Index, Treynor Ratio, Information Ratio, and Sortino Ratio are used. The results of the study indicate that the Indonesian capital market is not in strong form efficiency. Due to the potential for better performance compared to the stock market as a whole, it is advisable to choose Equity Mutual Funds as an investment management option.