Dampak pengumuman perubahan rating obligasi terhadap perubahan harga obligasi di Bursa Efek Jakarta

PRAYOGA, Rahmat, Ainun Na'im, Dr.,MBA

2005 | Tesis | Magister Manajemen

Segala bentuk investasi mempunyai keunggulan dan kelemahannya masing masing. Hal tersebut tergantung kepada beraneka ragam faktor yang mendasarinya, seperti: kondisi perekonomian, jangka waktu yang diinginkan, tijuan investasi il» sendiri, peraturan pemerintah dan berbagai alasan lain. Sejalan dengan perkembangan : ilmu pengetahuan dan teknologi, alternatif investasi juga tenis berkembang semakin beragam. Meskipun demikian, kondisi di negara berkembang seperti Indonesia tiðaklah selalu semaju seperti yang terdapat di negara maju, atau seperti yang ditulis dalam text book. Pasar modal di Indonesia sedang tumbuh berkembang sehingga dad sudut pandang investor di negara maju disebut pula sebagai the emerging market. Dalam kondisi seperti ini, risiko-risiko yang mungkin timbul dalam investasi penting untuk diketahui dan diperhatikan. Di Bursa Efek Surabaya, selain saham, investor dapat melakukan investasi dalam bentuk surat utang jangka panjang yang disebut juga sebagai obligasi. Pengumuman peringkat obligasi dapat dianggap sebagai informasi yang penting bagi pata investor di pasar modal. . ,: Berdasarkan analisis dalam thesis ini, dampak perubahan rating terhadap harga obligasi di Bursa Efek Surabaya tidak signifikan. Dengan demikian, event pengumuman perubahan peringkat (rating) tidak selalu dapat dijadikan sebagai dasar pengambilan keputusan untuk membeli atm menjual obligasi untuk mendapatlcan abnormal return. Selain tidak melaporkan transaksi, dalam prakteknya terdapat juga investor yang melaporkan transaksi namun pelaporannya tidak segera dilakukan setelah transaksi terjadi.

Each type of investment has its own strengths and weaknesses. Those things depend on several underlying factors, such as: economic conditions, the intended investment time horizon, the investment goals, government regulations, and other reasons. Inline with the development of science and technology, investment alternatives also continuesly developing to be more various. However, conditions in developing countries like Indonesia not always as advance as what had happened in developed countries, or as advance as what is written in text book. Capital markets in Indonesia is still in its developing stages so that from the view point of investors in developed countries also been called as the emerging market. In this kind of condition, risks that might appears in the investment are very important to be understood and taken care of. In the Surabaya Stock Exchange, beside stock, investor can also invests in the form of long term marketable securities, which are also called as bonds. The announcement of bond ratings can be considered as important information for the investors in the capital market. Based on the analysis in this thesis, the impact of rating changes towards bonds price in the Surabaya Stock Exchange was not significant. Thus, the event. of rating changes announcement cannot always be used as a base to make decision whether to buy or sell bonds to gain abnormal return. Beside not reporting the transaction, in its practice there were also investors that reported the transaction, but the reports were not immediately sent soon after the transactions were done.

Kata Kunci : Pasar Modal,Harga Obligasi, bond, rating, rating announcement, rating changes, abnormal return, analysis of variance