Kinerja indikator likuiditas saham beberapa perusahaan sebelum dan sesudah seo (seasoned equty offerings) di bursa efek Indonesia

Wahyuti, Ning (2018) Kinerja indikator likuiditas saham beberapa perusahaan sebelum dan sesudah seo (seasoned equty offerings) di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This study aims to determine the effect of SEO (Seasoned Equity Offerings), that is offering additional stock over IPO (Initial Public Offerings) to stock liquidity, and the effect of stock liquidity on stock return in Indonesia Stock Exchange (IDX). Indicators of stock liquidity used are turnover, liquidity and return to volume. Independent variables used are listed shares, book to market ratio, market capitalization, return of IHSG, liquidity and market excess return. Control variables used are return on asset, volume shares traded, volatility, lds, close price and dummy. This study taken sample of companies for 9 consecutive years from 2005- 2013 with total of 84 companies. Sample taken from annual financial statements of each company, ksei, idx, yahoo finance. This study was tested by panel regression through fixed or random effect model (hausman test), R2 coefficient test, t test, and comparative analysis with journal by Bilinski et. al. (2012). The results showed that SEO (Seasoned Equity Offerings) had a significant negative affect on stock liquidity. Stock liquidity did not significant affect on stock return. / Penelitian ini bertujuan untuk mengetahui pengaruh SEO (Seasoned Equity Offerings), yaitu penawaran saham tambahan di luar saham IPO (Initial Public Offerings) terhadap likuiditas saham, serta mengetahui pengaruh likuiditas saham terhadap return saham di Bursa Efek Indonesia. Indikator likuiditas saham yang digunakan yaitu turnover, likuiditas dan return to volume. Variabel independen yang digunakan yaitu listed shares, book to market ratio, kapitalisasi pasar, return IHSG, likuiditas dan market excess return. Variabel kontrol berupa return on asset, volume shares traded, volatility, lds, close price dan dummy. Penelitian ini mengambil sampel perusahaan selama 9 tahun berturut–turut dari tahun 2005-2013 dengan total 84 perusahaan. Data diperoleh dari laporan keuangan tahunan masing-masing perusahaan, ksei, idx, yahoo finance. Penelitian diuji menggunakan regresi panel melalui pengujian model fixed atau random effect (uji hausman), uji koefisien regresi R2, uji t dan analisis perbandingan dengan jurnal Bilinski et. al. (2012). Hasil penelitian menunjukkan bahwa SEO (Seasoned Equity Offerings) berpengaruh signifikan negatif terhadap likuiditas saham. Likuiditas saham tidak berpengaruh signifikan terhadap return saham.

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