KEINFORMATIFAN INDEKS (STUDI EMPIRIS PADA PASAR MODAL INDONESIA)

Heriyanto, F.X. KEINFORMATIFAN INDEKS (STUDI EMPIRIS PADA PASAR MODAL INDONESIA). Working Paper. Universitas Katolik Musi Charitas. (Unpublished)

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Abstract

This study aims to determine the informativeness of the index in the Indonesian Capital Market. Specifically, this study will examine the market's reaction to the announcement of company list change’s at the LQ45 Index, the Jakarta Islamic Index (JII), and the SRI-KEHATI Index. Market reaction can be seen from the existence of abnormal returns (abnormal returns) using the market model (single index model). Announcement of the change of company list on LQ45 Index, Jakarta Islamic Index, and SRI-KEHATI Index was obtained from the Indonesia Stock Exchange website. The sample of this research is company stocks that enter and exit the LQ45 Index, the Jakarta Islamic Index, and the SRI-KEHATI Index during the period 2009 to 2018. This study uses a one sample t-test (mean different test). The results showed that in general in the sample group of companies included in the Index, no significant market reaction was found (only in the sample of companies included in JII, there was found a significant positive market reaction). As for the sample group of companies excluded from the Index, significant negative market reactions were found in the companies that left the LQ45 Index, JII, and the SRI-Kehati Index. Furthermore, there was no significant difference in market reaction was found, both in the sample group included and in the sample group excluded, between the LQ45 Index, JII, and SRI-Kehati Index. Significant different market reaction were only found in the LQ45 Index and JII, both in the sample group included and sample group excluded from the Index.

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