Pengujian Pasar Efisien dan Single Index Model pada Peristiwa Pengumuman Kenaikkan Harga BBM di Bursa Efek Indonesia

Abstract

This study aimed to test the efficiency of capital markets
and the Single Index Model in Indonesia, related to the announcement
of fuel price rise on May 24, 2008. The sample
in this study as many as ten stocks listed on the Indonesia
Stock Exchange (IDX) and actively traded on 10 (ten) days
before and 10 (ten) days after the announcement of fuel price
rise on May 24, 2008, or by a window period of 21 days. The
results showed that in the event that the announcement of
fuel price increases announced by the government on May
24, 2008 are no differences in average abnormal return of
between 10 (ten) days before and 10 (ten) days after the
announcement. In periods of negative abnormal return observations
occurred before the announcement of fuel price
increases, which means there have been leaks of information,
where the issue of fuel price increases have been informed
by the previous government. This shows that the Indonesian
capital market is not efficient in this case. The study
also found that the SIM does not apply to the period of observation,
because of the variability of the beta is not followed by
the variability of stock returns or in other words there is no
linear relationship between beta and return
Key Word: Efficiency of capital markets, Single Index Model