Adrianto, Elvani Evi (2017) SEMI-STRONG EFFICIENCY TEST OF INDONESIAN SECURITY PRICES IN THE CONTEXT OF STOCK SPLIT ANNOUNCEMENT IN PERIOD 2006-2016. S1 thesis, UAJY.
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Abstract
The aim of this research is to investigate the semi-strong form of market efficiency of Indonesian capital market in the context of stock split announcement. This research use 123 companies who conduct stock split during 2006 - 2016 as the sample. In order to prove the market efficiency, this study use abnormal return and nonparametric test. Market model was used to find the abnormal return, while normality test and Wilcoxon Signed Rank Test were used to analyze the data. The result showed that all companies who conduct stock split during 2006 - 2016 do not have abnormal return, and almost all companies in Indonesia has no significant differences in stock return during stock split announcement event. The empirical result showed that Indonesian capital market follows semi-strong form of market efficiency
| Item Type: | Thesis (S1) |
|---|---|
| Uncontrolled Keywords: | Abnormal Return, Stock Split Announcement, Semi-Strong Market Efficiency, Shapiro- Wilk Test, Wilcoxon Test |
| Subjects: | Business Management > International Business |
| Divisions: | Fakultas Ekonomi > Manajemen Internasional |
| Depositing User: | Editor UAJY |
| Date Deposited: | 04 Jan 2018 11:16 |
| Last Modified: | 04 Jan 2018 11:16 |
| URI: | http://e-journal.uajy.ac.id/id/eprint/13350 |
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