This study aims
at exploring the extent of market efficiency on spesific trade, especially regular anf block trades. It is based on the
assumption that traders involved in those markets are different, mainly in terms
of the information acquisition and information processing. Their ability to
process public into private information may give an opportunity to beat the
market. Informed traders are concerned with and able to predict the expected market returns. This study employs
both uni and bi-directional models. This study applies autoregressive
conditional heteroskedasticity (EGARCH) to capture the asymatric behavior of investors toward information. Using
Indonesian Stock Market (previously lakarta Stock Market) as the study
indicates some differences in the efficiency and investors' behavior toward
information.