Analisis Pengujian Efisiensi Pasar Di Pasar Saham Jakarta Islamic Index

Widuhung, Sisca Debyola (2009) Analisis Pengujian Efisiensi Pasar Di Pasar Saham Jakarta Islamic Index. S1 thesis, STIE Indonesia Banking School.

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Abstract

This paper objective is to analyze the efficient market testing in the Jakarta Islamic Index (JII), especially semistrong efficient market. A market can he said to be efficient in the semistrong sense, if current prices quickly reflect all available information. The efficient market hypotheses initially proposed by Fama (1970). The method used in this research is event study, which study of reaction stock price around the event and the information published as the announcement. This research uses yearly financial statement 2005 and 2006 as the announcement. This research takes 17 samples of shares. There are two kinds of samples, increasing Earning Per Share (EPS) and decreasing Earning Per Share (EPS). To examine the existence of price reaction, the abnormal return test will be conducted. This research use market model to estimate return expectation. There are two kinds of period, estimation period and event period Estimation period takes l00 days and event period takes 15 days. including 7 days before and after the event. The results in 2006 and 2007 show that yearly financial statement has an information for investors. In 2006. investors react negatively and significantly to the good news (increasing EPS). This result is different in 2007, investors react positively and significantly to the good news (increasing EPS). But investors react two days before the announcement published. These evidence are contrary with the efficient market theory Keywords : efficient market, abnormal return. increasing EPS and decreasing EPS. and yearly financial statement.

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Ms Dyta Medina
Date Deposited: 12 Nov 2020 06:40
Last Modified: 12 Nov 2020 06:40
URI: http://repository.ibs.ac.id/id/eprint/1715

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