Analisis Reaksi Pasar pada Saat Pengumuman Rights Issue di Bursa Efek Indonesia

Abstract

This research tested market reaction when the announcement of rights issue to return and trading volume. There are many different rights issue effects. Based on market timing theory, companies tend to issue stock when their stock price is overvalued. But, investors  assess overvalued stocks tend to decline and the undervalued stocks tend to rise. Meanwhile, underwriter in a rights issue showed that, underwritter with good reputation will decreased the level of underpricing and increased trading volume. This research used  event study method  to   measure  the  significance  of  the  market reactions. Logit regression was also used to test the differences in market response over different  valuation and the used of underwriter.

The test results showed an overall hypothesis, the market considers the rights issue announcement as bad news which occurs abnormal negative returns and a decrease in the volume of trade. However market reacts positively to the announcement made by the undervalued company and   react  negatively  to  the  overvalued  company. Meanwhile, the used of underwriter don’t have influance to market reaction although can reduce the level of bad news.