Analisis Abnormal Return penawaran saham perdana :: Pengujian Aftermarket Liquidity, Informasi Asimetri, dan Market Climate

ALTEZA, Muniya, Dr. Suad Husnan, MBA

2005 | Tesis | S2 Manajemen

Penelitian ini menguji fenomena underpricing penawaran saham perdana di Bursa Efek Jakarta dan faktor-faktor yang memengaruhinya dilihat dari hipotesis aftermarket liquidity dan informasi asimetri. Selain itu penelitian juga menguji hipotesis market climate yaitu perbedaan besarnya underpricing dalam kondisi pasar modal yang berbeda yaitu bullish dan bearish. Abnormal return saham perdana mencerminkan total underpricing yang mencakup komponen diskon dan reaksi pasar, dan normal underpricing yang hanya melihat diskon saham perdana. Sampel yang diambil meliputi 75 perusahaan yang melakukan penawaran perdana periode 1998-2003. Hasil pengujian menunjukkan bahwa terjadi fenomena underpricing di BEJ dan besarnya underpricing yang diproksikan dengan abnormal return telah mencakup premi bagi likuiditas saham, yang membuktikan eksistensi hipotesis aftermarket liquidity. Underpricing juga dipengaruhi oleh keberadaan informasi asimetri antar pelaku pasar modal. Berdasar pengujian, penelitian juga membuktikan market climate hypothesis. Perbedaan kondisi pasar modal berpengaruh signifikan terhadap besarnya abnormal return saham perdana, yang berarti bahwa tingkat underpricing pada saat pasar bullish lebih tinggi dibandingkan dengan pada saat pasar bearish dengan mengontrol variabelvariabel yang memengaruhi underpricing.

This research tests the underpricing of IPOs in Jakarta Stock Exchange and points out the determinants of underpricing, which are specified based on aftermarket liquidity and asymmetric information hypotheses. Besides that, this research also tests the market climate hypotheses which stated that the amount of IPO’s underpricing is affected by the stock exchange condition whether it is bullish or bearish. The abnormal return of IPOs is seen as total underpricing, which include both the discount and market reaction component and normal underpricing which purely measure the discount of the IPOs. The total samples taken are 75 IPOs from the period 1998 to 2003. The study shows that the underpricing of IPOs exists in the JSX The abnormal return as the proxy of underpricing have included a premium for liquidity, which proves the existence of aftermarket liquidity hypotheses. Underpricing is also affected by asymmetric information among participants in the stock market. This research proves the presence of market climate hypotheses, which shows that the IPOs issued during bullish market period experienced a higher underpricing than IPOs issued during bearish market period, controlling for the variables suggested to affect underpricing.

Kata Kunci : underpricing, aftermarket liquidity, informasi asimetri, market climate, asymmetric information, market climate hypotheses