PUTRI, Bia Permata (2018) Analisis Reaksi Pasar di sekitar Tanggal Pelaksanaan Rapat Umum Pemegang Saham Tahunan (RUPST) Emiten Syariah di Indonesia Berdasarkan Jumlah Kapitalisasi Pasar (Studi pada perusahaan yang sahamnya tercatat dalam Indeks Saham Syariah Indonesia (ISSI) Tahun 2015-2017). Skripsi thesis, Universitas Jenderal Soedirman.

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Abstract

This study analyzes the market reaction to the information disclose in the Annual General Meeting of Shareholders (AGM). The title of this research is : Market Reaction Analysis Around The Date of Period of Sharia Stockholders' Annual General Meeting (AGM) in Indonesia Based on Market Capitalization. (Study on companies in Indonesia Sharia Stock Index (ISSI) 2015-2017. The purpose of this research is to empirically investigate market reaction to AGM event and to know the difference of abnormal return based on market capitalization rate in syariah company in Indonesia. The population in this study company conducting Corporate Event AGM and its shares are listed in the Jakarta Islamic Index (JII) and Indonesia Sharia Stock Index (ISSI) during the period 2015-2017. The number of samples in this study are 40 samples. This research uses purposive sampling method. The sample is based on the category of market capitalization value which has dynamic return and always conducts corporate event of AGM in 2015-2017. Shares with high capitalized companies are at least 6 times recorded in the Jakarta Islamic Index (JII) from December to May and June to November period, in 2015-2017. Shares for lowcapital issuers are ranked 115 based on the market capitalization rankings as of December 2016. Having data on the AGM, stock prices and complete market capitalization data, in accordance with the data require in the study. This study estimates the abnormal return by using Capital Asset Pricing Model (CAPM) as the minimum expectation return to obtain abnormal return. The CAPM is calculate by incorporating an element of risk-free rate in the interest rate and a simple regression result between market returns and daily returns of sharia companies. The method used in measuring this market reaction is the Event Study method of Brown and Warner (1985). The events in this research are 120 events, which is an accumulation of 40 samples and 3 years of AGM observation period. The window period in this study is 11 days, with the estimation period is 100 days before the AGMS. Abnormal return daily calculations using the Microsoft Excel 2016. This study uses the SPSS 24 to analyze the hypothesis. This research performs non parametric difference test because the data is not normally distributed. The non parametric Wilcoxon one sample singned rank thes is used to measure the market reaction of all issuers over three years and U-Mann Witney is to measure the ratio of abnormal returns between high-capitalized firms with low capitalization firms. Wilcoxon one sample is to measure the market reaction of all issuers over three years and U-Mann Witney is to measure the ratio of abnormal returns between high-capitalized firms with low capitalization firms. The test result from nonparametric analysis tool One Sample Wilcoxon Signed Rank Test where the significance value is more than 0.05 and the count value of wilcoxon is also greater than 1955. At H = 0 or at the AGM, the significance of 0.819> 0.05 or wilcoxon value of 2763> from 1955, then the overall average value of abnormal return has no difference with the normal condition of zero. That is, there is no significant average abnormal return around the date of the AGM. Thus, the null hypothesis (H01) is received, while H1 is rejected. Test results from a non parametric analysis tool Mann Witney U shows calculated significance greater than 5% or 0.05 and exceeds the value of U table. At H = 0 or at the AGM, the significance of 0.779> from 0.05 and U arithmetic is 1746> from U table 1308. Thus, the null hypothesis (H02) is accepted, whereas H2 is rejected. The results of this study indicate that corporate events AGMS produce Abnormal Return, but do not show a significant market reaction. Similarly, there is no significant abnormal return difference based on the market capitalization rate. This result is possible because the AGM is an event that is always routinely ini every year, so investors react to this event naturally only and Information generate in the AGM event does not need to be associated with the size of a company. As long as the signal from the information presented gives an economic value, the investor will respond to the information objectively. Although the results are not significant, the abnormal return occurs around the AGM. In H-4, H-3 and H-1 before the AGM there is a positive abnormal return. This states that the market responds to the AGM as a positive signal or the occurrence of information leak over the AGM. A fluctuating market reaction around the date of the AGM is indicated by the average abnormal return that still occurs up to H + 5. This implies a long market reaction to the announcement submitted at the AGMS to a new equilibrium price, it can be said that the Sharia Stock Market in Indonesia is not yet efficient. The implications of the above conclusions are: for investors, this study can see the overall market behavior in assessing the information content in the AGM. For the researcher, this research will make an important contribution in the context of capital market research in Indonesia, especially in analyzing information content or market reaction to the AGM held by the company.

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