Pola Pergerakan Harga Saham dan Tingkat Likuiditas Saham pada Pengumuman Bonusshare: Studi Empiris pada Thin Market
Abstract: The objective of
this study is to investigate effect of public announcement- bonusshare- on
market reaction in the Jakarta Stock Exchange. Since the trade condition in the
Jakarta Stock Exchange is still a non-synchronous trading, therefore, this
study employs a research method which is appropriate for such market.
The sample consists of 54 companies which announce bonusshare from
1994-1996. The market reaction is measured using the Single Index Model and
beta bias is corrected using Fowler and Rorke Method (1983) with four lags and
four leads. Comparison of stock liquidity before and after the Bonusshare made
use of wilcoxon signed ranks test and one sample kolmogorof smirnof test for
data normality test
The result of this research shows that bonusshares announcement is
positively responded statistically but not significantly responded by the
market around the date of bonusshares announcement. The difference between
stock liquidity before and after the bonusshares is insignificant except
trading volume.
Keywords: bonusshare, market
reaction, stock liquidity
Penulis: Indah Kurniawati
Kode Jurnal: jpakuntansidd070009
