Stock price reaction to announcements of rights issues in Indonesian Stock Exchange during the period 2001-2007

CAHYONO, Satriyo Budi, Mamduh M. Hanafi, Dr., MBA

2008 | Tesis | S2 Magister Manajemen

Tujuan penelitian ini adalah untuk mendalami reaksi saham terhadap pengumuman atas penwaran terbatas (rights issues) pada Bursa Efek lndonesia selama kurun waktu 2001 hingga 2007 serta untuk menguji apakah reaksi ini berkaitan dengan information effect hypothesis dan price pressure effoct hypothesis. Pada efisiensi pasar bentuk semikuat (semistrong from), jika suatu pengumuman mengandung inforrnasi maka pasar akan menyerap infonnasi tersebut kemudian saham-saham akan bereaksi. Reaksi atas saham tersebut dapat ditunjukkan dengan adanya abnormal return yang teijadi pada sekitar tanggaJ pengumuman. Da1am penelitian ini, abnorrnal return dihitung dengan menggunakan market adjusted model. Penelitian ini mengunakan purposive ampling method dan rnengu.mpulkan sebanyak 48 sample pengumuman atas rights issues dari tahun 2001 hingga 2007. Untuk menguji infomlalion effoct hypothesis, sample dibagi dua kelompok berdasarkan tujuan penggunaan dana basil rights issues, yaitu : ( 1) rights issues untuk investasi (penambahan aset) dan (2) rights issues untuk non-investasi (pengurangan hutang). Masing-masing kelompok dianalisis dengan one sample T-te t_untuk mengetahui apakah reaksi tersebut signifikan secara statistik. Hipotesis ini diuji dengan T-Test for two group of independent sample, untuk mengetahui apakah abnormal returns dari rights issues untuk investasi lebib tinggi daripada abnormal returns dari rights issues unna.k non-investasi. Sementara itu., tmtuk menguji price pressure effect hypothesis, penelitian ini menggunakan analisis regresi berganda untuk mendapatkan jawaban apakab rasio jwnlah saham baru yang ditawarkan dengan jum lah saham yang beredar berpengarub negati f pada abnormal returns. Berdasarkan one sample T-test, sebelum tangga1 pengumuman, rights issues untuk investasi bereaksi positif secara signifikan pada 2 bari menjelang pengumuman, sedangkan issues untuk non-investasi tidak ada reaksi yang signifikan hingga hari pengurnurnan. Pada tanggal pengurnuman, rights issues untuk investasi bereaksi positif sedangkan rights issues untuk investasi bereaksi negatif, namun demikian keduanya tidak signifi.kan. Pada 6 hari setelah pengumuman, rights issues baik untuk investasi maupun non-investasi bereaksi negatif secara signifikant, reaksi pasar atas rights i.\~\ues untuk non-investasi lebih buruk daripada rights isJues untuk investasi. Dari T-Test for two group of independent sample, dapat djsimpulkan rights issues untuk investasi mempunyai ahnormal returns Jebih tioggi daripada rights issues untuk non-investasi, namun perbedaan tersebut kurang signifikan. Dari multiple regression model, ditemukan bahwa rasio jumlah saham baru yang ditawarakan relatif terhadap jumJah saham yang beredar berpengarub negatif terhadap abnormal returns. Dengan demikian penelitian ini mendukung teori price pressure effoct, yang menyatakan babwa kenaikan Jupply dengan adannya penambahanjwnlah saham baru cenderung unna.k menaikkan harga saham. Model regresi ini juga menjelaskan pemberian diskon relatifterhadap harga pasar berpengaruh positifterhadap abnormal returns.

The objective of this research is to scrutinize stock reaction toward rights issues announcement in Indonesian Stock Market during the period 2001 to 2007 and to test whether this reaction is pertinent to information effect hypothesis and price pressure effect hypothesis. ln semislrongform market efficiency, if an announcement contains information then market will absorb this information and then stocks would be react. Stock reaction can be shown by abnormal returns that happened around date of announcement. In this research, abnormal return is computed by using market adjusted model. This research uses purposive sampling method and collects as many as 48 samples of rights issues announcement from 2001 to 2007. To test information effect hypothesis, the samples are divided into two group based on purpose of fund usage, i.e. ( I) rights issues for investment purpose (asset addition) and (2) rights issues for non-investment purpose (debt reduction). Each group would be analyzed by one sample T-test to know whether their reactions are statistically significant. This hypothesis is examined by T- Test for 2 group of independent sample to evaluate whether abnormal returns of rights issues for investment purpose are higher than those for non-investment purpose. Meanwhile, to test price pressure effect hypothesis, this research uses multiple regression analysis to answer whether ratio of number of new offered shares relative to number of outstanding shares negatively influences abnormal returns. Based on one sample T-test, before the announcement date, rights issues for investment purpose has significant positive reaction at 2 days before announcement, while those for non-investment purpose has no significant reaction. At the announcement date, rights issues for investment purpose has positive reaction, while those for non-investment purpose has negati.ve reaction, nevertheless both reactions are statistically insignificant. At 6 days after the announcement date, both rights issues for investment and non-investment purpose have significant negative reaction, market reaction of rights issues for noninvestment purpose is worse (very lower) than those for investment purpose. From T-Test for two group of independent sample, it can be concluded that rights issues for investment purpose bas higher abnormal returns than those for non-investment purpose, but this different is statistically insignificant. From multiple regression model, the result found that ratio between munber of new offered shares relative to number of outstanding shares influences negatively on ahnormal return<;. This research supports price pressure effect theory, which states that the increasing supply by additional new shares tends to decreases share price. Regression model also explains that discount price relative to market price influence positively on abnormal returns.

Kata Kunci : Rights issues,Abnormal returns,Information effect,Price pressure effect,Semistrong form