EN 
IN
Journal article
MARKET REACTION AND SEMI STRONG EFFICIENCY TEST
Ni Luh Putu Wiagustini IDA BAGUS PANJI SEDANA Ida Bagus Badjra
Volume : 7 Nomor : 4 Published : 2017, April
International Journal Of Research In Commerce, Economic and Management
Abstrak
This research attempt to test the market reaction of the Indonesia Stock Exchange in the form of Semi-Strong Form Efficiency conducted over listed companies that perform corporate actions (Stock Split, Cash Dividend, and Rights Issue) during 2011-2014. This study aims at investigating whether there is a market reaction or not following those corporate action events. The reaction is observed by testing abnormal returns before and after the events. Abnormal returns are measured by using market model. Conclusion is based on t test, the Indonesian Stock Exchange is classified into the category of Semi Strong Form Efficiency. It indicates that the market does not react to any corporate action, demonstrating that the average abnormal returns either before or after an event is not significant.