REAKSI PASAR TERHADAP PENGUMUMAN LEMBAGA PEMERINGKAT KREDIT DI INDONESIA
The purpose of this research was to examine the effect of bond ratings changes events announcement (upgrades and downgrades) to the market reaction which consists of the bond market and the stock market. Event date selected in this study was the date of event announcements changes in bond ratings is...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| Summary: | The purpose of this research was to examine the effect of bond ratings changes
events announcement (upgrades and downgrades) to the market reaction which
consists of the bond market and the stock market. Event date selected in this
study was the date of event announcements changes in bond ratings issued by PT
PEFINDO as rating agency in Indonesia. The observation was on a daily basis in
the twenty-one day period of observation.
The samples in this research as many as 29 for each market of stocks and
bonds suffered upgrades and downgrades during the period of 2009-2011 with
the purposive of sampling methods. A proxy used in bonds and stocks market
reaction is the revolving difference between the yield of bonds rating (bond yield
spreads) and abnormal return shares in the Indonesia stock exchange against the
announcement of bond rating changes in upgrades and downgrade. The
difference of bond yield here is the difference between the yield of corporate
and government bonds with the same maturity. While models in the
determination of abnormal return stock is a market adjusted model.
Test methods used in this research is compare mean analysis consisting of
independent sample of t-test and one sample of t-test. The results showed that
indeed there is a bond yield spread narrowed following the announcement of the
upgrade, and otherwise on the downgrade, but results were not significant.
While on the stocks there are positive abnormal return on the upgrade
announcement and negative abnormal return in downgrade announcement
although in the slow reactions. The influence of the announcement, concerning
the amount of downgrade and upgrade changes in the research found that
magnitude change in downgrade is larger than the influence of the announcement
upgrade to the stock market but not on bond market. |
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