PENGUJIAN PASAR EFISIEN BENTUK SETENGAH KUAT PADA PASAR MODAL DI INDONESIA
| Main Author: | Agung Setiawan Cahaya |
|---|---|
| Other Authors: | Ahmad Rodoni |
| Format: | bachelorThesis |
| Bahasa: | ind |
| Terbitan: |
Jakarta: Fakultas Ekonomi dan Bisnis UIN Syarif Hidayatullah Jakarta
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| Subjects: | |
| Online Access: |
http://repository.uinjkt.ac.id/dspace/handle/123456789/41338 |
Daftar Isi:
- The purpose of this research is to analyze and test the efficient market hypothesis in semi-strong form on the Indonesia capital market by employing panel data regression analysis tool and comparative test. Panel data regression analysis is preceded by panel data regression model selection and classical assumption test consisting of multicollinearity test and the heteroscedasticity test. Comparative test were performed using Wilcoxon Signed Ranks test method preceded by normality test on abnormal return before and after the event. The sample used as many as 32 companies doing mergers and acquisitions listed on the Indonesia Stock Exchange in 2008 until 2017. The stock price of the companies used as the dependent variable and the JCI (Jakarta Composite Index), foreign exchange rate, crude oil price, and real interest as the independent variables. Results of panel data analysis or regression indicate that simultaneously JCI, foreign exchange, crude oil price, and real interest affect the stock price of mergers and acquisitions companies. While the partially variable affecting the stock price is JCI and forex while the crude oil price and real interest partially not affect the stock price. Comparative test result indicate an abnormal return difference before and after mergers and acquisition with the tendency of abnormal return decreased after. This means that the Indonesia capital market is semi-strong form efficient.