ANALISIS EFISIENSI PASAR MODAL SYARIAH DI INDONESIA
DOI:
https://doi.org/10.54964/manajemen.v1i2.165Keywords:
Islamic Capital Market, Jakarta Islamic Index, Abnormal ReturnAbstract
The purpose of this research to determine whether the Islamic capital market inIndonesia is efficient in semi-strong form. This research is event study research. The event that used in this research is announcement of changing composition on Jakarta Islamic Index (JII). The event windows that used in this research is ten days before (H-10) and after (H+10) the announcement of changing composition on JII. Data analysis techniques testing the hypothesis in this study using the Wilcoxon Signed Rank Test. The population used in this study is all of the shares that categorized in to the Jakarta Islamic Index (JII) in the period 2014 and 2015. The samples were taken by using purposive sampling method, and based on predetermined criteria then the samples were included in this study 120 shares. The research shows that there is no difference of abnormal return and average abnormal return before and after of the announcement The results of this study indicate that the Islamic capital market in Indonesia is efficient in semi-strong form.
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