This is first book of a series of study on effeciency of Indonesian Capital Market. This book provides an overview of the developmnet of Indonesian Capital Market. It is statiscally important to understand the behaviour of data capital market. A change in time series and data structures should lead a reseacher to a certain way of analysis. Therefore, this book also provides information on achange in data structure of Indonesian Capital Market and a suggestion of treating the data that have such a change. (text from the author)