Analisis perbedaan kinerja saham jangka pendek dan jangka panjang setelah Initial Public Offering (IPO) di pasar modal Indonesia

HENDRASTOMO, Grendi, Hardo Basuki, Dr.,M.Soc.Sc

2007 | Tesis | Magister Manajemen

Penelitian ini dilakukan untuk meneliti kinerja saham baik itu pada jangka pendek maupun jangka panjang pada perusahaan yang melakukan Initial Public Offering (IPO) di Bursa Efek Jakarta. Tujuan dari penelitian ini adalah ingin membuktikan adanya fenomena outperformed pada kinerja saham jangka pendek dan underperformed pada kinerja saham jangka panjang. Kinerja jangka pendek sendiri dihitung berdasarkan kinerja selama 1 bulan sedangkan kinerja jangka panjang dihitung berdasarkan kinerja selama 1 tahun Sampel dari penelitian ini terdiri dari 89 perusahaan yang melakukan IPO dalam periode waktu 2000 – 2005. Pengujian dengan menggunakan one sample t-test ini kemudian menunjukkan bahwa kinerja saham jangka pendek setelah IPO menghasilkan rata-rata abnormal return sebesar 22.4% sedangkan pada jangka panjang setelah IPO kinerja saham mengalami penurunan, menghasilkan rata-rata abnormal return sebesar -17.36%. Kemudian dari pengujian dengan paired comparison t-test menunjukkan bahwa kinerja jangka panjang lebih buruk (underperformed) daripada kinerja jangka pendek. Hasil penelitian ini konsisten dengan studi di beberapa negara. Pada jangka pendek, kinerja saham menunjukkan fenomena outperformed dan di jangka panjang, kinerja saham menunjukkan fenomena undeperformed.

This research is done in order to investigate the short-run and long-run stock performances after the initial public offering in the Jakarta Stock Exchange. The aim of this research is to verify and provide evidence the out performed phenomenon in short-run performance and underperformed phenomenon on long-run performance. The calculation of the short term performance itself is based on one month performance after IPO and the long term performance is based on one year (12 months) after IPO. Samples used in this research come from 89 companies which have issued IPO in the period of 2000 – 2005. Examination using the method of this one sample ttest then shows that in short-run performance after IPO, there are positive abnormal return round 22.4% whilst in long-run performance after IPO, the abnormal return is decreasing until 17.36%. Subsequently, from the research using the paired comparison t-test, the results confirm that the long run performance is inferior (underperformed) compare to results from the short run. These results however are actually consistent in studies in numerous countries. The stock performance in short run was outperformed while in the long run was underperformed.

Kata Kunci : Kinerja Saham,IPO, stock performance, initial public offering, outperformed, underperformed, abnormal return