Pengaruh skewness industri terhadap return saham ipo

Utoyo, Yolanda (2019) Pengaruh skewness industri terhadap return saham ipo. Masters thesis, Universitas Pelita Harapan.

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Abstract

This study is conducted to find the skewness effect to first day return IPO in Indonesia Stock Exchange. The data used for this research is collected from all companies that are listed in Indonesia Stock Exchange during period 2008 - 2017. The data is divided into three portfolios based on the calculation of skewness industry and market, and then is processed by finding the average and median from the first day return of IPO, one up to three years returns after IPO. The result shows that skewness has impact to long term return but not a significant one. / Penelitian ini dilakukan untuk mengetahui pengaruh skewness terhadap return saham IPO di pasar saham Indonesia. Penelitian ini menggunakan data seluruh perusahaan yang terdaftar dalam Bursa Efek Indonesia selama periode 2008 – 2017. Data dibagi menjadi tiga portfolio berdasarkan hasil perhitungan industry skewness dan market skewness. Lalu menghitung rata rata dan median dari return hari pertama IPO, return satu tahun sampai tiga tahun setelah IPO. Hasil dari penelitian ini menyatakan bahwa skewness memiliki pengaruh tetapi tidak signifikan terhadap return jangka panjang.

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