Abstract
<em>In the midst of a national economic growth downturn that affected the capital market as a subsystem of the economy, now Indonesia capital market industry began to look at the development of the application of the principles of sharia as an alternative investment instruments in capital markets activities in Indonesia. The growth of the Islamic capital market in Indonesia is quite encouraging, but the Islamic capital market exposure is still minimal. Lack of public understanding about the Islamic capital market into doubt for investors to invest in the capital market. With the background of the problem, this research aims to investigate the level of efficiency increase of capital markets in Indonesia to see the influence of the capital market and the asymmetry of information on abnormal return. The population in this study are all listed company listed on the Stock Exchange 2014-2018 period as many as 626 companies with a total sample of 238 companies were selected based on criteria predetermined. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased.</em>
Highlights
The existence of capital market in Indonesia is one of the most important factors in helping to build a strong national economy and global competitiveness with the availability of facilities and the Indonesian capital market instruments that can compete with the capital market instruments other countries
With the background of the problem, This study aimed to investigate the level of efficiency increase of capital markets in Indonesia to see the influence of the capital market and the asymmetry of information on abnormal return Based on the data that has been analyzed, the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns
In accordance with theIslamic capital market concept which states that the Islamic capital market is made to reduce the asymmetry of information which the shares traded should come from companies engaged in sectors that meet the criteria of sharia and free from elements of usury, as well as stock transactions carried out by avoiding speculation practices
Summary
The existence of capital market in Indonesia is one of the most important factors in helping to build a strong national economy and global competitiveness with the availability of facilities and the Indonesian capital market instruments that can compete with the capital market instruments other countries. Ocean et al (2016) concluded that the Islamic stock index in the Indonesia Stock Exchange is an efficient capital market in the form of a strong half. Research conducted by Khajar (2012) found that the Indonesian Islamic capital market is efficient at least in the form of weak. Study conducted by Nasution (2015) showed that the Islamic capital market has been in a semi-strong efficient
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