PENGARUH EVENT TERHADAP VOLATILITAS RETURN SAHAM (Studi kasus perusahaan-perusahaan yang menerbitkan obligasi syariah yang terdaftar di Bursa Efek Indonesia Tahun 2009-2013)

Abstract

Investors investing in stocks will certainly pay attention to the return and risk. Sukuk is one of the new instruments in the financial world. Announcement of the sukuk issuance pointed out as one of the important information for investors to invest. The purpose of this research is to examine the effect of the announcement of sukuk issuance to stock return volatility, examine the phenomenon of time varying volatility that occurs in the movement of stock returns and volatility, examine the asymmetric effect in stock returns and the volatility and examine trading volume effect in stock return volatility. The data used in this research are daily closing price and trading volume in corporate sukuk issued during the year 2009- 2013 in the D-100 D+100 of observation period. Samples were taken using purposive sampling to obtain a samples of 13 companies. This study use EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) model analysis. The results show that the best model for each sample in EGARCH model are different. The results show that the phenomenon of time varying volatility occurs in 13 samples. From 13 samples, event announcement of the sukuk issuance do not affect the volatility of stocks returns except for Multi Adira Finance company. Then, the trading volume affect the stock returns volatility on 9 companies, but do not affect the other 4 companies