Abstract
The purpose of this research is to examine the effect of the announcement of Sukuk issuance to stock return volatility and to examine the phenomenon of time the varying volatility that occurs in the movement of stock returns and volatility. The data used in this research are daily closing price and trading volume incorporate Sukuk issued during the year 2009-2013 in the D-100 D+100 of Observation period. Samples utilized the purposive sampling technique to obtain the Samples of 13 companies. This study uses EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) method of analysis. The results show that the best model for each sample in the EGARCH model is different. The results show that the phenomenon of time-varying volatility occurred in 13 samples. From 13 samples, event announcement of the Sukuk issuance does not affect the volatility of stocks returns except for Multi Adira Finance company. Furthermore, the trading volume affects the stock returns volatility on 9 companies, hence do not affect the other four companies.
Highlights
Regarding financing the companies operationally, the company will always need the fund; it can be obtained from various sources
The population used in this study is the overall Sukuk announcement issued by the company on the Indonesia Stock Exchange (IDX)
We examined the stationarity test using the Augmented Dickey-Fuller Test; the results meet the stationarity assumptions based on some indicators such as the probability value is 0.000 (MPPA), in which the ADF is lower than the significant level 0.05, so the H0 is rejected
Summary
Regarding financing the companies operationally, the company will always need the fund; it can be obtained from various sources. It could be attained from internal capital sources or retained earnings. The company that becomes a public company on behalf of enlarging the operationalization activity fund can obtain the capital from the investors in the capital market. At this moment, the capital market has a function to be the intermediary between the investors and the company they would like to get additional capital by selling their stocks. There was an impressive development of Islamic financial activities in the world in the last decade, with worldwide
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
