NON-RANDOM WALK DI PASAR UANG Studi Kasus Empat Mata Uang Dominan Terhadap Dollar Amerika

Abstract

Random walk hypothesis is being real in the capital and money market. This paper is aimed to test the money market efficiency in Indonesia.. Using variance-ratio test model developed by Lo and MacKinlay, the random walk hypothesis of Yen, Euro, Pound sterling and Canada Dollar against US Dollar are tested during January 1999 to October 2006. The result shows that the random walk hypothesis of Yen, Euro, and Canada dollar was rejected; it means that the market for that currency was not efficient. Meanwhile, the Pound sterling position supported the hypothesis.