Institutional Repository UIN Sunan Kalijaga Yogyakarta: No conditions. Results ordered -Date Deposited. 2024-03-28T20:53:36ZEPrintshttp://digilib.uin-suka.ac.id/images/sitelogo.pnghttps://digilib.uin-suka.ac.id/2016-07-28T08:20:23Z2016-07-28T08:20:23Zhttp://digilib.uin-suka.ac.id/id/eprint/21094This item is in the repository with the URL: http://digilib.uin-suka.ac.id/id/eprint/210942016-07-28T08:20:23ZANALISIS REAKSI PASAR MODAL SYARIAH TERKAIT
PENGUMUMAN PAKET KEBIJAKAN EKONOMI JILID X TAHUN 2016
(EVENT STUDY PADA PERUSAHAAN-PERUSAHAAN YANG
TERDAFTAR DI JII TAHUN 2016)This research was conducted to test the information content of the
announcement of the economic policy package volumes X 2016 against shares of
the companies from Jakarta Islamic Index (JII), listed period December 2016 -
May 2016. The announcement of economic policy in general is an event that
always gets special attention from the perpetrators of the capital markets. They
would consider the policy so that if the event contains an information then it can
result in a shift to a new equilibrium prices as a result of the interpretation of such
information.
The methods used in this research is event study which analyse abnormal
return and trading volume activity around the announcement of the economic
policy package volumes X 2016. The hypothesis that there is a significant change
at the time before and after the announcement of the economic policies package
volume X 2016 against two such indicators. In estimating of the level of return the
company used the method market adjusted model. Statistical testing does is t-test
two t ail w ith α = 5 % a nd t -table of ± 2,262. The sample used is 10 companies
index JII corresponding to the specified category.
The first hypothesis test results, there is a significant change in the
average abnormal return on day -3, +1 and +3 period of observation. This means
before the announcement of the information leak has occurred. The second
hypothesis test results, there is a significant change in the average trading volume
activity on the entire period of observation. Since day -5 to day +5 significant
changes is entirely positive. This means if seen from the indicator trading volume
activity investors have responded in a full to information contained from
announcement of the package of economic policies volume X 2016 on the entire
period of observation.NIM. 09390045 AYI REZKI FAIZAN NUR