PENGUJIAN EFISIENSI PASAR MODAL SYARI’AH BENTUK LEMAH DAN SETENGAH KUAT DI BURSA EFEK INDONESIA

Abstract

The purpose of this study was to test the efficiency of the Islamic capital market weak form by using price information in 2014 and forms a strong half by using information announcement of fuel price increases in November 2014. Sampling was done by purposive sampling method. For the weak form efficiency test sample obtained by 30 companies, and 24 samples to test the efficiency of a semi-strong. Capital market efficiency hypothesis testing is done by using a weakened form Run. While half strong form efficiency hypothesis was tested with One sample test.
            The results of this study are in the period 2014 Islamic capital market has been efficient in weak form by using price information, evidenced by the changing patterns of return 28 of the 30 companies sample is random (random), and has been efficient in the form of half strong by using information price increase of petroleum, as evidenced by the occurrence of significant abnormal return around the announcement date of the increase in fuel, ie at t0 (the day of the announcement), t + 2 (two days after the announcement) and t + 5 (five days after the announcement).