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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Article
Author(s)
Misnen Ardiansyah, Abdul Qoyum
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DOI:10.17265/1548-6583/2012.07.009
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ABSTRACT
The specific concepts of Islamic capital market are based on transparency, accountability, and no asymmetric information. A capital market is said to be efficient with respect to an information item if the prices of securities fully impound the return implication of that item. This study has two main objectives. Firstly, for testing the efficiency of Islamic capital market which focuses on Jakarta Islamic Index (JII). Secondly, by this research finding, the regulator can make a good solution to create the real Islamic capital market. This study concludes that the Islamic capital market is not efficient in information. This is proved by test, where the result for both mean adjusted model and market adjusted model shows not significant, which means that the stock price that occurred has not been able to reflect a strong relationship with the real conditions that exist within the company. The second conclusion is the magnitude of abnormal return suggests that the market still has asymmetric information that will cause the occurrence of abnormal return. This is very unfortunate because Islamic capital market should be efficient in reflecting information transparency that could create a fair price in accordance with the real condition of the company’s stock issuance.
KEYWORDS
Islamic capital market efficiency, abnormal return, dividend announcement
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