Market Efficiency and Investment Feasibility of PT Telkom Indonesia Tbk (TLKM) Stock for the Month of May

Indah Sartika; Kristina Lase; Zuhro; Valentina Simbolon; Ahmad Albar Tanjung

Authors

Indah Sartika Manajemen, Sekolah Tinggi Ilmu Manajemen Sukma, Medan, Indonesia
Kristina Lase Manajemen, Sekolah Tinggi Ilmu Manajemen Sukma, Medan, Indonesia
Zuhro Manajemen, Sekolah Tinggi Ilmu Manajemen Sukma, Medan, Indonesia
Valentina Simbolon Manajemen, Sekolah Tinggi Ilmu Manajemen Sukma, Medan, Indonesia
Ahmad Albar Tanjung Manajemen, Sekolah Tinggi Ilmu Manajemen Sukma, Medan, Indonesia

Keywords:

Market Efficiency, Run Test, Autocorrelation, ADF Test

Abstract

The purpose of this research is to analyze the stock of PT Telkom Indonesia Tbk (TLKM) during the month of May, and to examine whether the TLKM stock falls under the category of a weak-form efficient market. To determine this, the researchers used several methods such as the run test, autocorrelation, and unit root test (ADF). These methods are expected to reveal whether TLKM stock price movements are truly influenced by historical data. Furthermore, the results of this testing are expected to provide prospective investors with insight and help determine the right investment strategy—whether short-term or long-term.

This study investigates whether the market is already weak-form efficient, meaning the current stock price reflects past information. TLKM stock was selected as the object of this research because it is considered a blue-chip stock with high liquidity and significant contribution to the movement of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Through this research, it is expected that investors will better understand how stock price movements occur and make investment decisions more wisely and based on data, not just speculation.

Keywords: Market Efficiency, Run Test, Autocorrelation, ADF Test.

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