Reaksi Pasar Atas Penerbitan Sukuk (Studi Pada Emiten Saham Penerbit Sukuk Periode 2008-2012)
Abstract: Issuance of Sukûk’s
corporation, it can be an opportunity for many companies to become proponent
necessity for funding and business expansion. Sukûk publication announcement is
an information for investors in order to assess it based on their investment
decisions. In order to get the investment decisions, investors often based on
the signals that had been given by the company. That signal can caused the
changes of demand and supply’s shares. This study aims to find out the reaction
of the stock from the Sukûk publication as indicated by the presence of
abnormal returns around the date of publication and the Trading Volume Activity
(TVA) difference which is occured before and after Sukûk publication.
This study uses event study approach, it carries out on 11 issuer stock
of Sukûk publisher which is listing in Indonesia Stock Exchange period :
2008-2012. This study also uses observation period for 81 days, they are t - 10
(70 days before publication), t - 0 (event date) and t +10 (10 days after
publication). The hypothesis calibration of this thesis uses a one sample t -
test and paired t - test. The results of this study is based on a statistical
test with a significance level (α) = 5 % resulted AAR which was in a
significantly positive on t - 2 at 0.03711 and significantly negative at t +9
of 0.03. In contrast with TVA, the statistic results showed probability value
of 0.026, which means there is a significant different of trading volume
activity before and after ofSukûk publication. The lack of information about
Sukûk also caused there is significant AAR reaction only in some poriods of
observation and significant negative TVA .
Keywords: Sukûk , Abnormal
Return , Trading Volume Activity
Penulis: Vita Fatimatuzzahra,
Leo Herlambang
Kode Jurnal: jpmanajemendd141231
