Analisis dampak peristiwa perubahan konstituen LQ45 terhadap return sahamperiode 2004 s.d. 2019

Deskripsi

This research examines the effect of announcement made for the reconstitution of LQ45 constituents toward the stock that were being included and the stock that were being excluded. This study uses LQ45 Index as research object. Using Event Study method, there is evidence that shows included stock gained positive accumulated average abnormal return, while excluded stock gained negative accumulated average abnormal return. There is also evidence that shows the increase of trading volume, by comparing the before and after announcement period. There is also evidence that the power between exclusion is different, that were shown by comparing two exclusion?s cumulative abnormal return. It can be concluded that this study supports the Imperfect Substitution Hypothesis (ISH).Ada Tabel