Title: STOCK MARKET REACTION TO THE ANNOUNCEMENT OF FIRST AND SECOND RIGHT ISSUE ON THE INDONESIAN STOCK EXCHANGE PERIOD 2001-2010
Author: Ali Zainal Abidin
Item Type: Thesis (Thesis)
Affiliations: Master of Management Science Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
This research aims to examine the stock market reaction to the announcement of the first and second rights issue on the Indonesia Stock Exchange during the 2001-2010 period. This research uses an event study, where observations are made of 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 was announced by the frequent issuer. This research uses secondary data obtained from the Indonesian Capital Market Electronic Librarian, Indonesian Securities Custodian and Yahoo Finance.com. The data used in this research consists of rights issue announcement data, daily stock trading data and daily closing composite stock price index data. The sample for this research is companies belonging to the frequent issuer group. Hypothesis testing in this research uses one sample t-test and paired sample t-test. The research results show that there is no stock market reaction around the announcement of the first rights issue carried out by frequent issuers. There was no stock market reaction around the announcement of the second rights issue carried out by frequent issuers. On average, there is no difference in the stock market reaction before and after the announcement of the first and second rights issue, but cumulatively there is a significant difference in the 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.
