REAKSI PASAR TERHADAP PERISTIWA RIGHT ISSUE DI BURSA EFEK INDONESIA
Abstract
Right issue adalah kegiatan penawaran umum terbatas kepada investor saat ini untuk memberi mereka hak untuk memesan dulu. Tujuan penelitian ini adalah untuk mengetahui reaksi pasar pada peristiwa right issue yang diukur dengan abnormal return, dan trading volume activity. Penelitian ini mengambil sampel sebanyak 52 perusahaan yang melakukan aksi korporasi right issue pada tahun 2018 dan 2019 yang tercatat di Bursa Efek Indonesia, dengan purposive sampling. Pengumpulan data dilakukan dengan cara melakukan pengamatan dan mencatat data dari laporan-laporan dan arsip-arsip dari beberapa sumber dengan teknik analisis data yaitu uji normalitas dan pengujian hipotesis dengan menggunakan alat uji non parametrik wilcoxon signed rank test. Berdasarkan analisis data yang dilakukan pada penelitian mendapatkan hasil bahwa pengumuman right issue berdampak signifikan terhadap abnormal return. Pengumuman right issue juga memiliki pengaruh signifikan terhadap trading volume activity.
A rights issue is a limited public offering activity to current investors to give pre-emptive rights. The purpose of this study is to determine the market reaction to the rights issue as measured by abnormal returns and trading volume activity using. 52 companies used as sample that carried out corporate rights issues in 2018-2019 listed on the Indonesia Stock Exchange usingt with purposive sampling. Data collection was done by observing and recording data from reports and archives from several sources, analyzed using normality test and hypothesis testing using the non-parametric Wilcoxon signed rank test tool. The results show that the announcement of the rights issue has a significant impact on abnormal returns. Rights issue announcements also have a significant effect on trading volume activity.
Downloads
References
Agustin, S., Santoso, B. H., & Firmansyah, A. D. (2017). Comparative Analysis of Trading-Volume Activity and Abnormal Return Before and After Stock Split. International Journal of Scientific and Research Publications, 7(11), 2250–3153.
Ariani, A., Dwita, T., & Srisulasmiyati. (2016). Analisis Perbedaan Abnormal Return Dan Likuiditas Saham Sebelum Dan Sesudah Right Issue. Jurnal Administrasi Bisnis (JAB), 1(33), 49–58.
Aryasa, I. P. G. C. A., & Suaryana, I. G. N. A. (2017). Reaksi Pasar Sebelum Dan Sesudah Pengumuman Right issue. E-Jurnal Akuntansi Universitas Udayana, 18(2), 1426–1454.
Camilleri, S. J., & Galea, F. (2019). The determinants of securities trading activity: evidence from four European equity markets. Journal of Capital Markets Studies, 3(1), 47–67. https://doi.org/https://doi.org/10.1108/JCMS-02-2019-0007
Chhatwal, H., & Lamba, A. (2018). Factors affecting Abnormal Returns around Bonus Issue Announcements: An Empirical Analysis of CNX 500 companies. MUDRA : Journal of Finance and Accounting, 4(02), 1. https://doi.org/10.17492/mudra.v4i02.11445
Firstiany, J. I., & Wirama, D. G. (2019). Reaksi Pasar atas Right Issue. E-Jurnal Akuntansi Universitas Udayana, 27(1), 285–310.
Han, M., Lee, D.-H., & Kang, H.-G. (2020). Market anomalies in the Korean stock market. Journal of Derivatives and Quantitative Studies: 선물연구, 28(2), 3–50. https://doi.org/https://doi.org/10.1108/JDQS-03-2020-0004
Isiker, M., & Tas, O. (2021). Does leverage level matter for return anomaly during rights issue announcements? The case of Islamic countries. Islamic Economic Studies, 1(1), 1. https://doi.org/https://doi.org/10.1108/IES-07-2020-0023
Kendirli, S., & Elmali, M. E. (2016). The Effects of Right Offering Announcements on Returns of Shares of Deposit Banks Traded In İstanbul Stock-Exchange. Journal of Economic Development, Environment and People, 5(1), 74–82.
Khoso, A. A., Ahmedani, M. M., Khazi, A. S., & Ahmend, M. H. S. (2016). The effect of right issue announcement on share prices of companies listed at KSE. International Journal of Multidisciplinary Research and Development, 3(7), 147–156.
Kurniawan, I. S., & Yasha, E. (2016). Reaksi Pasar dan Kinerja Keuangan Perusahaan Sebelum dan Sesudah Pengumuman Right Issue pada Perusahaan yang Melakukan Right Issue di Bursa Efek Indonesia. Jurnal Manajemen, 8(2), 181–200.
Lee, C., & Park, K. K.-H. (2021). Forecasting trading volume in local housing markets through a time-series model and a deep learning algorithm. Engineering, Construction and Architectural Management, 1(1), 1. https://doi.org/https://doi.org/10.1108/ECAM-10-2020-0850
Mudalige, P., Kalev, P. S., & Duong, H. . (2016). Individual and institutional trading volume around firm-specific announcements. International Journal of Managerial Finance, 12(4), 422–444. https://doi.org/https://doi.org/10.1108/IJMF-01-2016-0007
Nafisah, A. . (2018). Right issue (Suatu Instrument Derivatif Saham). Jurnal Ilmiah Niagara, 10(1), 128–134.
Putri, D., Maslichah, M., & Marwadi, C. (2018). Analisis Reaksi Investor terhadap Pengumuman Right issue di Bursa Efek Indonesia. Jurnal Ilmiah Riset Akuntansi, 1(1), 121–131.
Rahma, A. A. E., & Putri, I. P. (2017). Analisis Perbandingan Return Saham Dan Volume Perdagangan Saham Sebelum Dan Sesudah Right Issue. Majalah Ilmiah LPPM UPI YPTK Padang, 24(1), 137–144.
Ridho, A., Isynuwardhana, D., & Aminah, W. (2017). Analisis Reaksi Investor Terhadap Pengumuman Right Issue Di Bursa Efek Indonesia Periode 2013-2015. E-Proceeding of Management, 4(3), 2562–2569.
Rohit, B., Pinto, P., & Shakila, B. (2016). Impact of Stock Splits and Right issue Announcements on Market Price: Evidence From India. A Management Journal, 7(2), 1–17.
Rossi, M., & Gunardi, A. (2018). Efficient market hypothesis and stock market anomalies: Empirical evidence in four European countries. Journal of Applied Business Research, 34(1), 183–192. https://doi.org/10.19030/jabr.v34i1.10111
Runtung, G. G. L., & Yadnya, I. P. (2018). Analisis Kinerja Keuangan Perusahaan Sebelum dan Sesudah Right issue di BEI. E-Jurnal Manajemen Unud, 7(3), 1623–1652.
Sabbaghi, O., & Sabbaghi, N. (2018). Market efficiency and the global financial crisis: evidence from developed markets. Studies in Economics and Finance, 35(3), 362–385. https://doi.org/https://doi.org/10.1108/SEF-01-2014-0022
Santo, J., & Rahyuda, H. (2019). Reaksi Pasar Terhadap Pengumuman Right Issue Di Bursa Efek Indonesia Tahun 2013-2017. E-Jurnal Manajemen, 8(4), 1985–2013.
Suhadak, S., Kurniaty, K., Handayani, S. R., & Rahayu, S. . (2019). Stock return and financial performance as moderation variable in influence of good corporate governance towards corporate value. Asian Journal of Accounting Research, 4(1), 18–34. https://doi.org/https://doi.org/10.1108/AJAR-07-2018-0021
Umesh, N. P., Parab, P. P., & Reddy, Y. V. (2016). Impact of Right Issue Announcements on Stock Prices and Liquidity: Empirical Evidence from India. An International Journal of Management Studies, 6(4), 180–185.
Wibawa, I. G. A., & Suryantini, N. P. S. (2019). Perbedaan Abnormal Return Dan Trading Volume Activity Sebelum Dan Sesudah Pengumuman Right Issue di BEI. E-Jurnal Manajemen, 8(4), 2381–2408.
