ANALISIS PENGARUH PENGUMUMAN RIGHTS ISSUE TERHADAP REAKSI PASAR SUATU EVENT STUDY DI BEI PADA PERIODE 2009-2011

Abstract

The purpose of this study was to see how the effect of the an-nouncement public offering (Rights Issue) to the reaction of the market (market return). And see how the influence of some relevant factors that may cause reactions of market (market return) to the announ-cement of the public offering (Rights Issue). The population of this research are firms that issue right on the Indonesia Stock Exchange. Samples taken are companies that issue right in the period July 2009-December 2011. The method used, namely: Statistical Methods of Non Parametric Sign Test and Parametric Statistical Methods. Analysis and data processing are performed to analyze the stock price return, using the sign test, whereas the analysis and processing of data to analyze the effect and degree of closeness between the variables were examined using Multiple Regression. The results of this study indicate that the market reaction to the announcement of the public offering at t = 0 or at the public offering date of the announcement is negative. Similarly, for t = -1 to t = +1 and after the date of the announcement of the rights issue at t = + 1 to t = + 5 occurred significantly negative market response. Using Non-Parametric Sign Test test has occurred 35 event announcement public offering that responded negatively by the market of a total of 52 events. For durability factor in the stock market through the capitalization of listed companies by size (SIZE) in this study the coefficient is positive but not significant. For the discount factor coefficient is significantly negative. To factor the large number of new stock price relative to the old stock price outstanding (Relative Offering Price) results obtained from the research above has a negative coefficient but is not significant. And for liquidity variable coefficient obtained is positive but not significant.