ANALISIS PERBEDAAN ABNORMAL RETURN DAN RISIKO SAHAM PERUSAHAAN SEBELUM DAN SESUDAH PENGUMUMAN PENETAPAN TERGABUNG DALAM KELOMPOK JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA PERIODE 2006-2008

REFIENDY, TONY ERIK (2009) ANALISIS PERBEDAAN ABNORMAL RETURN DAN RISIKO SAHAM PERUSAHAAN SEBELUM DAN SESUDAH PENGUMUMAN PENETAPAN TERGABUNG DALAM KELOMPOK JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA PERIODE 2006-2008. Other thesis, Universitas Sebelas Maret.

[img] PDF - Published Version
Download (315Kb)

    Abstract

    This research is aimed to investigate and find out the differences corporate abnormal return and stock risk before and after announcement of quotition join with Jakarta Islamic Index group in IDX period January 2006 – December 2008. This research use abnormal return as a proxy of stock return and use stock beta as a proxy of stock risk. Investigation of market reaction to announcement of quotition join with Jakarta Islamic Index group is done by testing average abnormal return during event periods to find that announcement of quotition join with Jakarta Islamic Index group has information to market and next testing the difference between average abnormal return and average stock beta (five days) before and (five days) after announcement of quotation join with Jakarta Islamic Index group. This research used 146 samples of Indonesian listing firms on IDX. Samples in this research were selected by using purposive sampling method. This research is event study that use 100 days estimation periods and 11 days event periods. Correction beta uses Fowler & Rorke methods 4 lead 4 lag on estimation periods. First hypothesis is tested by t-account with account standardized average abnormal return value as t-account during events periods, and for second, third, and fourth hypothesis is tested by t-test paired sample for means if data distribution is normal and tested by wilcoxon signed rank test methods if data distribution is not normal. The result of this research based on statistics output shows that there is negative market reaction during event windows period. The result of this research show that there is a significant different between abnormal return before and after announcement, but the result to stock beta show opposite result with abnormal return result. The result of stock beta show that there is no differences between stock beta before and after announcement. Keywords: market reaction, stock return, stock risk, event study, market model, Fowler & Rorke, Jakarta Islamic Index (JII).

    Item Type: Thesis (Other)
    Subjects: H Social Sciences > H Social Sciences (General)
    H Social Sciences > HF Commerce > HF5601 Accounting
    Divisions: Fakultas Ekonomi
    Fakultas Ekonomi > Akuntansi
    Depositing User: Andika Setiawan
    Date Deposited: 22 Jul 2013 07:27
    Last Modified: 22 Jul 2013 07:27
    URI: https://eprints.uns.ac.id/id/eprint/7715

    Actions (login required)

    View Item