INVESTIGATING STOCK MARKET REACTION ON JAKARTA ISLAMIC INDEX (JII) ANNOUNCEMENT
Abstract: This project was
designed to explore the stock market reaction as Jakarta Islamic Index (JII)
was announced. It was indicated by abnormal return appearance for thedate once
the listed companies (emiten) were shown on JII, and also several daysbefore
and after the announcement day. The research employed event studies methodwhere
the data was collected from daily stock price of Indonesian Stock Exchangedata
base. By using market adjusted model, the result revealed that during 11 daysobservation,
21 stocks from JII latest list showed significant abnormal return, at 5%significant
level. Thus, it can be concluded that the information presented through JII announcement
was very important with the result that the appearance of abnormal return was
significantly influenced during and around the announcement day. In addition,
information that implied positive signal toward the investors would also resulted
in positive abnormal returns.
Keywords: Jakarta Islamic
Index, Abnormal Return, Market Reaction, Event Studies
Penulis: Nisful Laila
Kode Jurnal: jpmanajemendd131200
