Event Study of Obtaining Investment Grade in Indonesia

DOI

10.2991/aebmr.k.200108.027How to use a DOI?

Keywords

Event Study, Abnormal Return, Investment Grade, Debt Rating

Abstract

This research aims to analyze the market reaction to the announcement of the acquisition of share prices due to the announcement event Indonesia’s debt rating of Investment Grade Indonesia. This study used comparative descriptive research design. The sample used in this study was 41 companies included in the LQ45 index group on the Indonesia Share Exchange. The analysis was conducted using the event study method with a window period of 11 days, i.e., five days before, one day, the date of the event, and five days after the fact. The data used in this study are the daily closing share price and the composite share price index. The expected return calculation in this study used the market model. The results showed that: (1) There was an abnormal return the day before the announcement of Indonesia’s debt rating increase. (2) There was no significant difference in the average abnormal return both before and after the announcement of the acquisition of Investment Grade. Based on these results shows that the Indonesian capital market can be said to be efficient because economic events that occur do not cause turmoil on share prices.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Suryanto
PY  - 2020
DA  - 2020/01/13
TI  - Event Study of Obtaining Investment Grade in Indonesia
BT  - Proceedings of the International Conference on Business, Economic, Social Science, and Humanities – Economics, Business and Management Track (ICOBEST-EBM 2019)
PB  - Atlantis Press
SP  - 113
EP  - 116
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200108.027
DO  - 10.2991/aebmr.k.200108.027
ID  - 2020
ER  -