ANALISIS REAKSI PASAR MODAL TERHADAP PENGUMUMAN RIGHT ISSUE DI BURSA EFEK JAKARTA (BEJ) (PENGAMATAN TERHADAP RETURN, ABNORMAL RETURN, SECURITY RETURN VARIABILITY DAN TRADING VOLUME ACTIVITY)
Abstract
ABSTRAK
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Penelitian ini dilakukan atas dasar pengamatan terhadap kondisi pasar modal Indonesia pada efisiensi bentuk setengah kuat, dimana pasar akan bereaksi terhadap suatu informasi (suatu pengumuman). Jika pengumuman mengandung informasi maka pasar akan bereaksi pada waktu pengumuman diterima pasar. Tujuan penelitian ini adalah untuk mengetahui apakah pasar modal bereaksi terhadap pengumuman right issue, dengan mengamati perilaku return saham, abnormal return, security return variability dan trading volume activity di sekitar tanggal pengumuman (sebelum, saat, sesudah pengumuman).
Penelitian ini dilakukan dengan metode event study dengan pendekatan market adjusted model. Sampel penelitian adalah semua perusahaan yang tercatat di Bursa Efek Jakarta, yang mengeluarkan pengumuman right issue saja selama tahun 1999 (24 perusahaan). Uji statistik terhadap return, abonormal return, security return variability dan trading volume activity menggunakan uji t; Paired Two Samples for Mean pada periode sebelum, saat dan sesudah pengumuman right issue.
Hasil penelitian untuk return saham menunjukkan perbedaan yang signifikan hanya untuk sebelum dengan saat. Hal ini mengidentifikasikan kemungkinan informasi right issue sudah terserap pada hari-hari sebelum pengumuman dipublikasikan. Abnormal Return dan Security Return Variability tidak menunjukkan perbedaan yang signifikan. Sedangkan Trading Volume Activity menunjukkan perbedaan yang signifikan untuk periode pengamatan sebelum dengan saat dan sesudah dengan sebelum pengumuman. Berdasarkan hasil-hasil peneltiian tersebut dapat disimpulkan bahwa pasar modal tidak bereaksi terhadap pengumuman right issue, sehingga efisiensi pasar modal Indonesia (Bursa Efek Jakarta) belum bisa dikategorikan dalam semi strong form.
Kata kunci: pasar modal, right issue, return saham, abnormal return, security return variability, trading volume.
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ABSTRACT
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The research based on the analysis of the observation to the market condition in Indonesia about semi strong form efficiency in which market will react against an information. If the right issue contains information that the market react at the moment the right issue is published.
The aim of the research is to find out whether the stock exchange react to the right issue by observing the return, abnormal return, security return variability and trading volume activity at the time, before, and after of the publication.
The method of the research is using event study with market adjusted model approach. The research sampling are the 24 corporate that registered in BEJ in 1999.
Statistical test on return, abnormal return, security return variability and trading volume activity use t-test.
The result of the research shows the significant difference at the time and before the return is issued because the right issue has been heard before. There is no significant difference found in abnormal return and security return variability. However, the trading volume activity shows the difference for the period of observation before, at the time, and after publication of the right issue.
It brings the conclusion that the stock exchange doesn’t react against the publication of the right issue so BEJ has not been categorized yet into the semi strong form..
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Keywords: stock market, right issue, stock return, abnormal return, security return variability, trading volume.
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