Analisis Reaksi Pasar Modal Terhadap Pengumuman Right Issue Di Bursa Efek Jakarta (Bej) (Pengamatan Terhadap Return, Abnormal Return, Security Return Variability Dan Trading Volume Activity)

Abstract

The research based on the analysis of the observation to the market condition in Indonesia about semi strong form efficiency in which market will react against an information. If the right issue contains information that the market react at the moment the right issue is published. The aim of the research is to find out whether the stock exchange react to the right issue by observing the return, abnormal return, security return variability and trading volume activity at the time, before, and after of the publication. The method of the research is using event study with market adjusted model approach. The research sampling are the 24 corporate that registered in BEJ in 1999. Statistical test on return, abnormal return, security return variability and trading volume activity use t-test. The result of the research shows the significant difference at the time and before the return is issued because the right issue has been heard before. There is no significant difference found in abnormal return and security return variability. However, the trading volume activity shows the difference for the period of observation before, at the time, and after publication of the right issue. It brings the conclusion that the stock exchange doesn't react against the publication of the right issue so BEJ has not been categorized yet into the semi strong form.