Abstract :
This paper objective is to analyze the efficient market testing in the Jakarta
Islamic Index (JII), especially semistrong efficient market. A market can he said to be
efficient in the semistrong sense, if current prices quickly reflect all available
information. The efficient market hypotheses initially proposed by Fama (1970).
The method used in this research is event study, which study of reaction stock
price around the event and the information published as the announcement. This
research uses yearly financial statement 2005 and 2006 as the announcement. This
research takes 17 samples of shares. There are two kinds of samples, increasing
Earning Per Share (EPS) and decreasing Earning Per Share (EPS).
To examine the existence of price reaction, the abnormal return test will be
conducted. This research use market model to estimate return expectation. There are
two kinds of period, estimation period and event period Estimation period takes l00
days and event period takes 15 days. including 7 days before and after the event.
The results in 2006 and 2007 show that yearly financial statement has an
information for investors. In 2006. investors react negatively and significantly to the
good news (increasing EPS). This result is different in 2007, investors react positively
and significantly to the good news (increasing EPS). But investors react two days
before the announcement published. These evidence are contrary with the efficient
market theory
Keywords : efficient market, abnormal return. increasing EPS and decreasing EPS.
and yearly financial statement.