Title: STOCK MARKET REACTION TO FIRST AND SECOND RIGHT ISSUE ANNOUNCEMENTS ON THE INDONESIAN STOCK EXCHANGE 2001-2010 PERIOD
Author: Ali Zainal Abidin
Item Type: Thesis
Affiliations: Master of Science in Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
This study aims to examine the stock market reaction to the announcement of the first and second rights issue on the Indonesia Stock Exchange during the period 2001-2010. This study uses an event study, which observes the average abnormal return and cumulative average abnormal return 10 days before and 10 days after the announcement of the first and second rights issue by frequent issuers. This study uses secondary data obtained from the Indonesian Capital Market Electronic Librarian, the Indonesian Securities Depository, and Yahoo Finance.com. The data used in this study consist of rights issue announcement data, daily stock trading data, and daily closing data of the Jakarta Composite Index. The sample of this study is companies classified as frequent issuers. Hypothesis testing in this study uses a one-sample t-test and a paired sample t-test. The results show that there is no stock market reaction around the announcement of the first rights issue made by frequent issuers. There is no stock market reaction around the announcement of the second rights issue made by frequent issuers. On average, there is no difference in stock market reaction before and after the announcement of the first and second rights issue, but cumulatively there is a significant difference in stock market reaction before and after the announcement of the first and second rights issue. Key words: first right issue, second right issue, event study, average abnormal return, and cumulative average abnormal return.
Keywords: first right issue, second right issue, event study, average abnormal return, and cumulative average abnormal return.