PENGARUH PENGUMUMAN STRATEGI PENGUNGKAPAN INFORMASI EMITEN PADA RETURN SAHAM DI BURSA EFEK INDONESIA [JURNAL]
ABSTRACT
The objective of this research is to the empirical test hyphotesis (1) the
effect of the information disclosures strategy to the stocks return.,(2) the
lower average abnormal return after the announcement of information
disclosures strategy then average abnormal return before of the
announcement it, (3) the lower average abnormal return after the
announcement of information disclosurse strategy then average abnormal
return on the date of announcement it.
The methodology of this research is expalanatory survey by using
secondary data and 154 of listing companys at Indonesia Stock
Exchanges as sample size, the sampling method used is a purposive
random which category only the company sending the disclosures strategy
to the Bapepam. The analysist data method is used the market
model(Markowitz) with the events study -3 days before and +3 days after
at the date announcement of disclosures strategy.
The results of these research are (1) the effect of the information
disclosures strategy to the stocks return is significantly.,(2) the lower
average abnormal return after the announcement of information
disclosures strategy then average abnormal return before of the
announcement has an empirical prove, (3) the lower average abnormal
return after the announcement of information disclosures strategy then
average abnormal return on the date of announcement has an empirical
prove .
The conclusion of this research are the results of these research is
consistently with the study before, however the assumption is used did
not the efficient market in the semi-strong form, but in the weak-form
especially for the Indonesia Capital Market.
Key Words: disclosures strategy, market model, the efficient market
assumption.
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