Economics and Business
ISSN 2775-9237 (Online)
Published: 25 January 2022
Market Responses Around the Publication Dates of Annual Financial Report
Julyana Julyana, Rosemarie Sutjiati Njotoprajitno, Bram Hadianto
Maranatha Christian University, Indonesia
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Keywords: Inefficient Market in the Semi-Strong Shape, Informational Content, Market Reaction
This research intends to investigate the market efficiency in the semi-strong shape by examining the response from the market participation around the annual financial report publication dates as the event. Moreover, to attain this intention, this study uses thirty-three consumer goods companies in the Indonesian capital market between 2018 and 2020 as samples. We use the Slovin formula and simple random sampling technique separately to count and take them. Furthermore, we check the proposed hypothesis by a one-sample t-test for each response from the market during the event period, i.e., twenty-one days. Based on the examination of market reaction, we infer that this reaction happens before, on, and after the publication date of the financial report. In other words, this circumstance supports the inefficient market in this shape.
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