Abstract
This study aims to determine the market's reaction to the announcement of company list change’s at LQ45 Index, Jakarta Islamic Index (JII), and SRI-KEHATI Index. Sample of this research is company stocks that include in or exclude from LQ45 Index, JII, and SRI-KEHATI Index during the period 2009 to 2018. The results showed that in general in the sample group of companies included in the Index, no significant market reaction was found. For the sample group of companies excluded from the Index, significant negative market reactions were found from all the Index. Furthermore, there was no significant difference in market reaction was found, both in the sample group included and in the sample group excluded from the Index. Significant different market reaction were only found in the LQ45 Index and JII.
Highlights
Index is a single number that describes the overall movement of data in a certain time period
In the comparison of the company's market reactions included in the LQ45 Index and the Sustainable and Responsible Investment (SRI)-KEHATI Index as well as the comparison of the company's market reactions included in the Jakarta Islamic Index (JII) and the SRI-KEHATI Index, it can be seen in the results of testing table 12 that there is no significant difference in market reactions where the z value is calculated statistically smaller than the table's z value
The positive market reaction to company shares included in JII is in line with the results of Sayani and Balakrishnan's (2013) research which found that there was a positive market return and lower volatility when the company entered into the Islamic Index (KMI30) on the Karachi Stock Exchange
Summary
Index is a single number that describes the overall movement of data in a certain time period. Index is useful for simplifying information related to the overall movement of data. The index is used in various fields such as economics (business and trade), education, health, agriculture, and one of them is the capital market. There are various indices in the Indonesian Capital Market such as LQ45 Index, Jakarta Islamic Index, SRI-KEHATI Index, Kompas 100 Index, Bisnis-27 Index, PEFINDO25 Index and so on. The LQ45 Index, the Jakarta Islamic Index and the SRI-KEHATI index are indices that are often used as a reference for investors to make investment decisions. Jurnal Manajemen/Volume XXIV, No 02, June 2020: 210-231
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
