Abstract
The purpose of this research is to examine the change of market reaction around the date of Corporate Performanice Rating program in Environ mental management (PROPER) announcement and the change of market reaction between good PROPER rank and bad PROPER rank. The market reaction is measured by abnormal return and trading volume activity. The sample of the study consist of 25 companies which joined on PROPER and listed on the Indonesian Stock Exchange in 2009-2013. Data that used in this study consist of share’s daily closing price and daily trading volume. The research period is 7 days by using market-adjusted model. Analyzed technique for examining the hypothesis is Wilcoxon Signed Test at level significant of 5%. The result of this research shows that PROPER announcement get any response from the investor, because there were significant changes to the abnormal return. But there were no significant changes to the trading volume activity before and after PROPER announcement, abnormal return and trading volume activity between good PROPER rank and bad PROPER rank.
Highlights
Abstrak: Tujuan dari penelitian ini adalah untuk menguji perubahan reaksi pasar sekitar pengumuman pengumuman Performanice Rating program in Environ mental management (PROPER) dan perubahan reaksi pasar antara peringkat PROPER yang baik dan peringkat PROPER yang buruk
The purpose of this research is to examine the change of market reaction around the date of Corporate Performanice Rating program in Environ mental management (PROPER) announcement and the change of market reaction between good PROPER rank and bad PROPER rank
The market reaction is measured by abnormal return and trading volume activity
Summary
Peneliti dapat menambahkan dua hipotesis selanjutnya yang menguji reaksi pasar antara peringkat PROPER baik dan buruk yaitu: H3: Terdapat perbedaan abnormal return antar peringkat PROPER. Perusahaan dipilih menurut kriteria tertentu, di mana perusahaan yang dijadikan sampel merupakan perusahaan-perusahaan yang mengikuti PROPER dan listing di BEI selama 5 tahun berturut-turut dan tidak melakukan corporate action selama periode pengamatan, hal ini dilakukan karena 5 tahun merupakan waktu yang cukup panjang untuk penelitian dan diharapkan lebih mencerminkan kondisi pasar yang sebenarnya, serta untuk mengetahui perubahan peringkat PROPER perusahaan selama 5 tahun. Teknik analisis data yang digunakan dalam penelitian ini adalah teknik analisis event study yang bertujuan untuk menganalisis perbedaan abnormal return dan volume perdagangan saham pada periode sebelum dan sesudah pengumuman peringkat PROPER. Kedua metode analisis statistik tersebut digunakan untuk menguji data berpasangan di mana dua sampel penelitian saling berkaitan satu sama lain
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