INVESTIGATING STOCK MARKET REACTION ON JAKARTA ISLAMIC INDEX (JII) ANNOUNCEMENT

This project was designed to explore the stock market reaction as Jakarta Islamic Index (JII) was announced. It was indicated by abnormal return appearance for the date once the listed companies (emiten) were shown on JII, and also several days before and after the announcement day. The research employed event studies method where the data was collected from daily stock price of Indonesian Stock Exchange data base. By using market adjusted model, the result revealed that during 11 days observation, 21 stocks from JII latest list showed significant abnormal return, at 5% significant level. Thus, it can be concluded that the information presented through JII announcement was very important with the result that the appearance of abnormal return was significantly influenced during and around the announcement day. In addition, information that implied positive signal toward the investors would also resulted in positive abnormal returns