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Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional

Shirkah Journal of Economics and Business

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Title Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional
 
Creator Qoyum, Abdul
Mardiya, Milzamulhaq
Sakti, Muhammad Rizky Prima
 
Subject Islamic capital market; capital market efficiency; abnormal return; abnormal trading volume activity
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Description Capital market efficiency is one of the most important part in finance theory, in which assume the price of stock will fully reflect the information available in the market, hence the price will adjust directly and quickly. The objective of this study is to evaluate the efficiency of both Islamic and conventional stock markets, particularly in case of Indonesia. Event study of King Salman Visit in Indonesia was used as testing periods. Abnormal return and average abnormal trading volume activity of 30 companies listed in Jakarta Islamic Index (JII) to represent Islamic capital market and 17 companies listed in LQ45 to represent conventional capital market were employed to explain this issue. The result shows that from abnormal return perspectives both Islamic and conventional capital market are efficient. While from abnormal trading volume activities, shows that during the visit of King Salman, the trading activity in Islamic capital market is increased significantly rather than conventional counterpart. Keywords: Islamic capital market, capital market efficiency, abnormal return and abnormal trading volume activity 
 
Publisher Faculty of Islamic Economics and Business, Institut Agama Islam Negeri (IAIN) Surakarta
 
Contributor —
 
Date 2018-01-10
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://shirkah.or.id/new-ojs/index.php/home/article/view/171
10.22515/shirkah.v2i3.171
 
Source Shirkah: Journal of Economics and Business; Vol 2, No 3 (2017)
2503-4243
2503-4235
 
Language eng
 
Relation http://shirkah.or.id/new-ojs/index.php/home/article/view/171/33
 
Rights Copyright (c) 2018 Shirkah: Journal of Economics and Business
http://creativecommons.org/licenses/by-nc/4.0