The Effect Of Right Issue Announcement On Share Return And Share Liquidity Levels In Companies Registered In Indonesia Stock Exchange, 2014-2018

Adithya Nur Susanto, Ade Banani, Rio Dhani Laksana

Abstract


This study aims to determine the effect of rights issue announcements on stock returns and the level of stock liquidity in companies listed on the Indonesia Stock Exchange in 2014-2018. Stock return in this study is proxied to be abnormal return, while stock liquidity is proxied to be stock trading volume (trading volume activity). The test of market reaction arising from the announcement of the rights issue is carried out by testing the average abnormal return and average trading volume five days before and five days after the announcement of the rights issue. The population in this study were all companies that conducted rights issues listed on the Indonesia Stock Exchange in 2014-2018, as many as 87 companies. The sample used in this study amounted to 87 companies. This sample was selected using a total sampling method. This research is an event study using a market adjusted model with an event period of 10 days, namely five days before the announcement of the rights issue and five days after the announcement of the rights issue. The first test of this hypothesis uses the MANOVA test method, namely by carrying out the Univariate Statistical test (Test of Between Subject Effects) but after the statistical test is carried out, the results do not meet the MANOVA requirements. Then the second test was carried out with the Wilcoxon Signed Rank Test. The results of statistical analysis show that there is no significant effect between the announcement of the rights issue before and after on abnormal returns and trading volume activity in the companies studied.

 

Keywords: Market Reaction, Right Issue, Stock Return, Stock Liquidity


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