Pengaruh Pengumuman Right Issue Terhadap Tingkat Keuntungan Dan Likuiditas Saham Di Bursa Efek Jakarta Periode 1998 - 1999

Abstract

nformation is investor’s basic need for investing decision. It can decrease the uncertainty, so the decision that has been made will achieve the purpose. Including such of information is the announcement of right issue. It will be so much valuable if the existence of the information cause the investor makes trading in the stock market and that will be reflected from stock price eanging and stock trading activity. The main issues of this research is bow the response of Jakarta Stock Exchange (JSX) to the announcement of right issue and will the right issue influence stock return and stock trading volume activity in JSX? The purpose of this study is to analyses market stock reaction to the annoucement of right issue and to find out the effect of right issue announcement to the stock return and stock liquidity. The methodology of this research explored by event study with using historical data series implemented in purposive sampling method. The model used in this research is market model and to measure the effect of right issue announcement on stock return and liquidity in JSX used statistics test, t-test. Based on the result this research has found the right issue announcement do not effect stock return and liquidity in JSX. It is showed with no significant differences (p>O. 10) has been found in average return, abnormal return, cumulative abnormal return, and stock trading volume activity during five days after right issue (compared) to the day the right issue announced. Right issue announcements tend to be negatively responded by sthck market. It has been proven by negative average return, abnormal return, cumulative abnormal return, and stock trading volume activity during five days after right issue (compared) to the thy the right issue announced