“PENGUJIAN KANDUNGAN INFORMASI TERHADAP ATRIBUT SYARIAH PADA SAHAM YANG MASUK/KELUAR INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013 HINGGA 2016 ”
    Volume: Vol. 1, No. 3, Oktober 2017
    Penulis: M. Adi Wicaksono date: 2017-11-01

    This research based on the problem in sharia stock investing, about the present of
    sharia attribute in investing decision process. Should the sharia investors
    undertake the sharia attributes of stock? And how sharia attributes make
    contribution to sharia investors?
    The aim of this research is to evaluate the information content of sharia attribute
    in stock that involved in ISSI (Indonesia Sharia Stock Index). This index that
    reflects the overall Islamic stocks listed in Indonesia Stock Exchange (IDX) and
    registered in List of Islamic Securities (DES) formed by National Sharia Council
    (DSN) of the Indonesian Ulema Council (MUI).
    The method of this research is using event study with market adjusted model
    approach. The sample data include 147 sharia stocks, which 88 stock are fresh
    new comer into ISSI, and 59 stocks are out from ISSI, over period between 2013
    and 2016. The abnormal returns was tested among window period [-7,+7] around
    the announcement date of ISSI. One sampe T-test was undertaked to evaluate
    hypotheses of the present of sharia attribute. Seven days CAAR before
    announcement date was taken as variable control.
    The finding of this research shows the significant existence of sharia attribute.
    New comer sharia stock of ISSI gained the significant positive cummulative
    abnormal return (CAAR). Non-sharia stock was come out of ISSI scored
    significant negative CAAR.
    It brings the conclusion that sharia attribute is valuable factor in investment
    decision. The sharia attribute act as catalisator function to gain benefit in stock
    investing.

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