Proceedings of the International Conference on Business, Economic, Social Science, and Humanities – Economics, Business and Management Track (ICOBEST-EBM 2019)

Event Study of Obtaining Investment Grade in Indonesia

Authors
Suryanto
Corresponding Author
Suryanto
Available Online 13 January 2020.
DOI
https://doi.org/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.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Suryanto
PY  - 2020
DA  - 2020/01/13
TI  - Event Study of Obtaining Investment Grade in Indonesia
BT  - International Conference on Business, Economic, Social Science, and Humanities – Economics, Business and Management Track (ICOBEST-EBM 2019)
PB  - Atlantis Press
SP  - 113
EP  - 116
UR  - https://doi.org/10.2991/aebmr.k.200108.027
DO  - https://doi.org/10.2991/aebmr.k.200108.027
ID  - Suryanto2020
ER  -