DAMPAK PENGUMUMAN PENERBITAN OBLIGASI PERUSAHAAN TERHADAP ABNORMAL RETURN SAHAM DI INDONESIA TAHUN 2014 – 2015

Abstract

Abstract. This study aims at investigating the effect of corporate bonds issuance
announcement on the stock market in Indonesia over 2014 – 2015. By applying event
study and t-test, it is proven that there are significant positive abnormal return one day
before the announcement date and significant negative abnormal return five days after
the date. This result shows that public has obtained information from the insider as
good news before the information is widely disseminated; therefore, they react by
transacting in the stock market. Nonetheless, when the offering period ends, market
participants react again and there is a market correction five days after the
announcement. This result confirms that there is a signalling effect of corporate bonds
issuance on the stock market performance and indicates that stock market in Indonesia
is inefficient.