Sasikirono, Nugroho (2018) Pengaruh Hari Dalam Satu Minggu (Day Of The Week Effect) Pada Underpricing Dan Long-Term Market Performance Saham-Saham Initial Public Offerings Di Pasar Modal Indonesia. Magister thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengetahui apakah terdapat seasonality pada kinerja pasar jangka pendek dan jangka panjang saham IPO pada periode 2006-2013 di pasar modal Indonesia. Analisis terhadap 151 sampel menunjukkan bahwa tidak ditemukan perbedaan pada rata-rata Market Adjusted initial Return produk hari perdagangan pertama yang berbeda. Meskipun demikian ditemukan bahwa rata-rata CAR36 produk IPO dengan hari perdagangan pertama Rabu secara signifikan lebih rendah daripada hari perdagangan pertama lainnya. Analisis regresi dengan metode OLS pada CAR36 menunjukkan bahwa hari perdagangan pertama Rabu berpengaruh negatif terhadap long-term market performance. Hal ini disebabkan underwriter yang memiliki reputasi tinggi cenderung menghindari Rabu sebagai hari perdagangan pertama. Buruknya kualitas saham IPO yang diperdagangkan pada hari perdagangan pertama Rabu menjadi penyebab rendahnya CAR36 dari IPO dengan hari perdagangan pertama Rabu.
English Abstract
This study aims to determine whether there is seasonality in the short-run market performance and long-term IPO shares in the period 2006-2013 in the Indonesian capital market. An analysis of 151 samples showed that there is no difference in the average Market Adjusted initial Return of the different first trading day. Nevertheless, the average CAR36 of IPO from the first trading day on Wednesday is significantly lower than any other first trading day. Regression analysis with OLS method on CAR36 showed that the first trading day on Wednesday has a negative effect on long-term market performance. This is due to underwriters who have a high reputation tend to avoid Wednesday as the first trading day. The poor quality of IPO shares traded on the first trading day Wednesday become the cause of the low CAR36 of the IPO with the first trading day Wednesday.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | TES/332.632 22/SAS/p/2018/041805742 |
| Uncontrolled Keywords: | SECURITIES - PRICES,STOCKS PRICES, STOCK PRICE FORECASTING, GOING PUBLIC ( securities) |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.63 Specific forms of investment > 332.632 Securities, real estate, commodities > 332.632 2 Stocks (Shares) > 332.632 22 Prices |
| Divisions: | S2/S3 > Doktor Ilmu Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Nur Cholis |
| Date Deposited: | 17 Dec 2018 01:43 |
| Last Modified: | 22 Oct 2021 03:59 |
| URI: | http://repository.ub.ac.id/id/eprint/162151 |
![[thumbnail of 166020202111017.pdf]](http://repository.ub.ac.id/style/images/fileicons/text.png) |
Text
166020202111017.pdf Restricted to Registered users only Download (7MB) |
Actions (login required)
 |
View Item |