STUDI EFISIENSI PASAR MODAL SYARIAH DAN KONVENSIONAL DI INDONESIA (STUDI PERISTIWA KUNJUNGAN RAJA ARAB 1 MARET 2017)

MILZAMULHAQ MARDIYA, NIM. 13391139 (2017) STUDI EFISIENSI PASAR MODAL SYARIAH DAN KONVENSIONAL DI INDONESIA (STUDI PERISTIWA KUNJUNGAN RAJA ARAB 1 MARET 2017). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This is a research study to find out the event influence international political activities against the stock market. This research aims to know the influence of the events of to visits made by the Arab King March 1, 2017 against the different in average abnormal return and the average abnormal trading volume activity in share of the Jakarta Islamic Index (JII) and Liquid 45 (LQ45). This research is event study with market adjusted model method to calculate the different in average abnormal return and average abnormal trading volume activity. The data used are secondary data is data associated with a Indonesia Stock Exchange (IDX), the daily closing price of the shares, and the daily volume of stock trading by using 30 samples of companies listed on the JII and 17 samples of companies listed on the LQ45 in observation period for 11 days. The results of this study show that in period of the Arab Kingdom visit event there is no different in average abnormal return significantly. Furthermore, there is a change in average abnormal trading volume activityis is a significant in samples of companies listed on the JII and LQ45.

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