Investors can choose to invest in the real investment sector or in the financial sector. The decision to choose the investment sector is mainly determined by the amount of return (return) generated and the risk (risk) that will be received by investors due to the investment. Theoretically the risks and returns received from an investment will go hand in hand. The higher the rewards expected to be received, the greater the risk that investors will receive. Fama (1970) classified information into three types, namely; (i) oast price change (past price changes), (ii) public information (publicly available information) and (iii) public and private information (good information available to the public and not). The efficient market hypothesis has been widely tested and, with the data in a wide variety of markets and variety result. The Structure of Scientific Revolutions, we seem to be entering a stage where widely scattered and as yet incohesive evidence is arising which seems to be inconsistent with the theory. Daily observations are taken for the period January 2017 to December 2017 on LQ-45 at IDX. Autocorrelation, Ljung-Box Qstatistic Test, to test the hypothesis that the stock market follows a random walk. Daily returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the daily prices do not follows random walks in LQ-45 IDX. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these markets.