This research proves that the capital market in the three countries is efficient in the semi strong form against the announcement of Brexit referendum result. The hypotheses in this research are rejected and so, it means that the investors in Hong Kong, Thailand, and Indonesia have no response to the Brexit phenomena. The result of this research finds that there are no significant abnormal returns. The data of HK50 Index, SET50 Index, and LQ45 Index are representing the three countries.
The proxy of the market reaction in the research is Abnormal Return and it is calculated using the market adjusted model. Event study is used to test whether the three-different-market are efficient in the semi-strong form, or giving any reaction toward the phenomena. Hong Kong, Thailand and Indonesia are used as the subjects of the research. This research is conducted to investigate the semi-strong form of the efficient market based on Brexit Phenomena on the three different countries. Villa Puncak Tidar N-01 Malang, East Java, Market Hypothesis (EMH) classifies the market into three forms, namely weak form, semi-strong form, and strong form market. THE HONG KONG, THAILAND, AND INDONESIA CAPITAL MARKET RESPONS TOWARD THE BREXIT PHENOMENAįaculty of Business and Economics Ma Chung University
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