Initial Public Offering Underpricing in Indonesia Stock Exchange (IDX) Sharia-compliant Stocks

NATHALIA FAUSTINA H, Jan J.G. Lemmen

2019 | Skripsi | S1 MANAJEMEN

Makalah ini membahas mengenai anomali IPO underpricing di Indonesia selama periode 2007 - 2018, di mana rata- rata return hari pertama selama periode tersebut mencapai 30,04%. Berdasarkan variabel independen yang telah dianalisa, makalah ini membuktikan adanya underpricing berbasis informasi asimetris. Tingkat underpricing pada perusahaan yang melakukan IPO di Indonesia dipengaruhi oleh sigma aftermarket atau standar deviasi dari return, reputasi penjamin emisi, usia perusahaan, dan harga penawaran. Terlepas dari fakta bahwa mayoritas masyarakat Indonesia beragama muslim, efek status saham sebagai saham syariah ditemukan tidak signifikan. Hal ini dapat terjadi karena hingga tahun 2018, jumlah investor yang eksklusif berinvestasi pada saham syariah hanya mencapai 2,72% dari seluruh populasi investor di Bursa Efek Indonesia. Makalah ini juga menunjukkan bahwa variabel seperti aftermarket beta, jenis industri, dan jumlah saham yang ditawarkan tidak memiliki pengaruh signifikan terhadap tingkat underpricing pada saham IPO.

This thesis examines Indonesian IPO underpricing anomalies within the period of 2007 - 2018, in which the average first-day return over the period is found to reach 30.04%. This paper was able to prove the existence of information asymmetry based underpricing through the significant result of some independent variables that were analyzed. The level of underpricing in companies conducting an IPO in Indonesia is influenced by aftermarket sigma or the standard deviation of return, underwriter reputation, company's age, and offer price. Despite Indonesia's status as a country with Muslim majorities, the sharia stock effect was found to be insignificant, probably because per 2018, the number of exclusive investors, or investors who only invest in sharia stocks is only 2.72% from the whole population of investors in Indonesian stock market. This paper also showed that no significant result with underpricing level can be found in market beta, financial industry dummy, and number of shares offered.

Kata Kunci : IPO underpricing, Sharia Stocks, Emerging Market