Analysis Semi-Strong Efficiency Market Testing Through of Right Issue Influence on Abnormal Return in Emitens Indonesia Stock Exchange Period 2017-2019

Abstract

This study aims to see the semi-strong-efficient form of the Indonesian capital market in the context of announcing rights issues. This study used 40 companies that conducted rights issues during 2017 -2019. To prove market efficiency, study uses abnormal returns with a normality test kolmogorov-smirnov. Based on the hypothesis test there is no significant difference in expected return but there are significant differences in the actual return and CAAR. The results of the analysis concluded that the right issue announcement information has information that causes differences in investor preferences that are reflected in changes in stock prices that can result in changes in abnormal returns before and after the right issue event. Rapid reaction by the market to the information received so that it is fast in decision making and empirical results show that Indonesian capital market is expressed as semi-strong form of market efficiency.