Perbandingan Underpricing Emisi Saham Perdana pada Perusahaan Keuangan dan Non-Keuangan serta pada Kondisi Pasar Bullish dan Bearish

Dwicahyo, Satriyo, Dr. Mamduh M. Hanafi, M.B.A.

2008 | Skripsi | S1 Economics

Penelitian empiris ini menguji apakah terjadi fenomena underpricing di Pasar Modal Indonesia dan bagaimana pengaruh dari beberapa faktor terhadap tinggi rendahnya tingkat underpricing. Telah banyak penelitian yang menawarkan berbagai penjelasan mengenai underpricing. Hipotesis market climate menjelaskan underpricing terkait dengan kondisi pasar sebelum IPO. IPO pada kondisi pasar bullish akan memberikan tingkat underpricing yang lebih tinggi daripada IPO pada kondisi pasar bearish, dikarenakan investor cenderung terlalu optimis terhadap prospek perusahaan, menyebabkan harga keseimbangan setelah pasar lebih tinggi daripada kondisi normal. Sementara itu, regulation hypothesis menjelaskan bahwa dikarenakan lembaga keuangan dimonitor oleh agen pemerintah, sehingga menyebabkan permasalahan informasi asimetri dan exante uncertainty pada perusahaan tersebut seharusnya lebih rendah daripada lembaga non-keuangan. Penelitian ini menggunakan metode uji beda rata-rata serta analisis regresi berhasil membuktikan bahwa fenomena underpricing terjadi di Pasar Modal Indonesia. Akan tetapi, penelitian ini tidak berhasil menemukan perbedaan yang signifikan antara IPO dari perusahaan keuangan dan non-keuangan serta antara IPO yang dilakukan pada kondisi pasar bullish dan bearish-baik sebelum dan setelah dilakukan kontrol terhadap variabel-variabel yang mempengaruhi underpricing. Selain itu juga ditemukan bahwa tingkat exante uncertainty dan besaran perusahaan berpengaruh signifikan terhadap tingkat underpricing, sementara umur perusahaan dan reputasi penjamin emisi tidak memiliki pengaruh yang signifikan terhadap tingkat underpricing. Kata Kunci: Underpricing, perusahaan keuangan, exante uncertainty, bullish, bearish

This empirical research examined whether underpricing consist in Indonesia capital market and what the effect of various factors at the level of underpricing. There are many researches offered a variety of explanation of underpricing. Market climate hypothesis explain underpricing related with market condition before IPO. IPO in bullish market will offer higher level of underpricing than IPO in bearish condition because investors may be overly optimistic about firm's prospect, causing the after market equilibrium price to be greater than in normal conditions. While regulation hypothesis explain since financial institutions are monitored by the regulatory agents, thus the information asymmetry problem and the exante uncertainty about the issuing firm's value should be less severe for the financial institutions than non-regulated one. This study used mean-comparison test and regression analysis and found that underpricing phenomena exist in Indonesia capital market. However, it was found that there were no significant differences of underpricing, before and after controlling the factors that affecting the underpricing, between IPO in bullish and bearish market condition and between financial and non-financial firms. It also found that, level of exante uncertainty level and firm's size will significantly affect the level of underpricing, while firm's age and underwriter reputation have no significant affect at the level of underpricing. Keywords: Underpricing, financial firm, exante uncertainty, bullish, bearish

Kata Kunci : Underpricing; Emisi Saham Perdana; Perusahaan Keuangan; Perusahaan Non-Keuangan; Bullish; Bearish