PENGARUH PERUBAHAN KOMPOSISI JAKARTA ISLAMIC INDEX TERHADAP RETURN SAHAM
ABSTRACT: Objective of this
study is to test wether the announcement of JII (Jakarta Islamic Index) composition change has information content
and thus reacted by market as reflected in average abnormal return (AAR). The
information content was tested using event study method to observe abnormal
return surrounding JII composition change announcement day. Using data from JII since 2004 through 2010, the
result of the study shows that there are abnormal return exist surrounding JII
composition change announcement day. AAR is found statistically negative and
significant different from zero for stock included-in and stock removed from
JII. It indicates that the announcement having an information content. However,
there is no significant difference of abnormal return found before and after
announcement day. It might be caused by the regular timing of the composition
change announcement and information leakage in form of “noise”. Thus,
Indonesian stock market proves to be inefficient in its semistrong form.
Keywords: JII composition
change, shariah-compliant index, event study, abnormal return, market
efficiency
Penulis: Ulfi Kartika
Oktaviana, Nanik Wahyuni
Kode Jurnal: jpperadabanislamdd110158
