Research Article
Analysis Semi-Strong Efficiency Market Testing Through of Right Issue Influence on Abnormal Return in Emitens Indonesia Stock Exchange Period 2017-2019
@INPROCEEDINGS{10.4108/eai.14-9-2020.2304436, author={Nurul Pathonah and Budi Purwanto and Wita Juwita Ermawati}, title={Analysis Semi-Strong Efficiency Market Testing Through of Right Issue Influence on Abnormal Return in Emitens Indonesia Stock Exchange Period 2017-2019}, proceedings={Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia}, publisher={EAI}, proceedings_a={ICOSMI}, year={2021}, month={5}, keywords={actual return abnormal return expected return right issue semi strong form}, doi={10.4108/eai.14-9-2020.2304436} }- Nurul Pathonah
Budi Purwanto
Wita Juwita Ermawati
Year: 2021
Analysis Semi-Strong Efficiency Market Testing Through of Right Issue Influence on Abnormal Return in Emitens Indonesia Stock Exchange Period 2017-2019
ICOSMI
EAI
DOI: 10.4108/eai.14-9-2020.2304436
Abstract
This study aims to see the semi-strong-efficient form of the Indonesian capital market in the context of announcing rights issues. This study used 40 companies that conducted rights issues during 2017 – 2019. To prove market efficiency, study uses abnormal returns with a normality test kolmogorov-smirnov. Based on the hypothesis test there is no significant difference in expected return but there are significant differences in the actual return and CAAR. The results of the analysis concluded that the right issue announcement information has information that causes differences in investor preferences that are reflected in changes in stock prices that can result in changes in abnormal returns before and after the right issue event. Rapid reaction by the market to the information received so that it is fast in decision making and empirical results show that Indonesian capital market is expressed as semi-strong form of market efficiency.
