Perbandingan Abnormal Return Emisi Saham Perdana Pada Kondisi Pasar Bullish dan Bearish di Pasar Modal Indonesia (studi Empiris di Bursa Efek Indonesia 2003-2008)
WULANDARI, SITI (Pembimbing: Suad Husnan, Dr., M.B.A), Suad Husnan, Dr., M.B.A
Penelitian ini menguji fenomena underpricing penawaran saham perdana di Bursa Efek Indonesia tahun 2003-2008 dan faktor-faktor yang mempengaruhinya. Fokus utama pada penelitian ini adalah ingin menguji keberadaan hipotesis market climate yaitu underpricing yang diukur menggunakan abnormal return, diharapkan akan memberikan abnormal return lebih besar pada saat kondisi pasar bullish dibandingkan saat kondisi pasar sedang bearish. Selain itu juga penelitian ini memasukkan berbagai macam faktor lain yang mempengaruhi tingkat underpricing dilihat dari sisi hipotesis informasi asimetris, yaitu reputasi underwriter, ukuran perusahaan, umur perusahaan dan persentase saham yang ditahan oleh pemegang saham lama. Sampel pada penelitian ini menggunakan 78 perusahaan yang melakukan penawaran perdana pada tahun 2003-2008.
Hasil penelitian menunjukkan bahwa terjadi fenomena underpricing di Bursa Efek Indonesia. Fenomena terjadinya underpricing ini tidak hanya terjadi pada hari pertama perdagangan saja, melainkan hingga hari ketiga perdagangan. Hal ini mengindikasikan bahwa pasar modal di Indonesia memiliki tingkat keefisienan yang lambat. Implikasinya adalah para pemodal tidak lagi harus membeli saham pada saat terjadinya IPO. Hasil pengujian yang berkaitan dengan hipotesis market climate memberikan hasil bahwa perbedaan kondisi pasar modal tidak berpengaruh signifikan terhadap besarnya abnormal return saham perdana ketika dilakukan pengontrolan terhadap variabel-variabel lain yang mempengaruhi underpricing. Sedangkan sebelum dilakukan pengontrolan terhadap variabel-variabel lain yang dianggap mempengaruhi underpricing, uji hipotesis market climate menunjukkan hasil bahwa perbedaan kondisi pasar modal, yaitu kondisi pasar bullish dan bearish berpengaruh signifikan terhadap besarnya abnormal return saham perdana, dimana abnormal return pada saat kondisi pasar bullish lebih tinggi dibandingkan dengan kondisi pasar bearish. Sedangkan untuk uji hipotesis asimetri informasi, menunjukkan hasil bahwa variabel-variabel seperti reputasi underwriter, ukuran perusahaan, umur perusahaan dan persentase saham yang ditahan oleh pemegang saham lama tidak berpengaruh signifikan terhadap besarnya abnormal return saham perdana.
This study examined underpricing phenomenon of initial public offering in Indonesia Stock Exchange from 2003-2008 and the factors that influenced it. The main focus on this study tested existence of market climate hypothesis, that is underpricing which is measured by using the abnormal return. It is expected providing greater abnormal return on bullish market conditions than bearish market conditions. In addition, this research also included a variety of other factors that influenced the level undepricing in terms of asymmetric information hypothesis like underwriter reputation, firm size, firm age and the percentage of shares held by holders of old shares. The sample in this study used the 78 companies that was doing initial public offerings in 2003-2008.
The results showed that the underpricing phenomenon existed in Indonesia Stock Exchange. The phenomenon of underpricing did not only happen on the first day of trading alone, but until the third day of trading. It indicated that the capital market in Indonesia had a slow efficiency level. The implication was that investors had not to buy the shares at the time of the IPO any more. The test results related to climate market hypothesis stated that differences in capital market conditions did not give significant effect on the abnormal return of IPO when performed controlling for other variables that influenced underpricing. While prior to control of other variables considered to affect underpricing, market climate hypothesis test showed that differences in capital market conditions, the bullish and bearish market conditions significantly influenced the amount of abnormal return of IPO, in which the abnormal return during bullish market conditions higher than the bearish market conditions. Meanwhile, the results of information asymmetry hypothesis showed that variables such as underwriter reputation, firm size, firm age and the percentage of shares held by holders of old shares was no significant effect on the amount of abnormal return offering.
Kata Kunci : underpricing, abnormal return, bullish, bearish, asymmetry information, informasi asimetri.
