Kembali | Vol 8, No 3 (2019)
Article
Rifqi Wafi dan Harmadi
Abstract
This study aimed to analyze the reaction of capital market on stocks of State-Owned Enterprises (SOE) and Non-SOE Enterprises to the announcement of the rise of rating Indonesian state bond rating or called Credit Rating: Investment Grade. Sampling on the research using purposive sampling method, selected publicly listed SOEs in Indonesia Stock Exchange of 20 companies, and listed non-SOE of 107 company. The reaction of the capital market is measured through Trading Volume Activity and Abnormal Return using event study analysis technique. Further research also uses Cumulative Average Abnormal Return (CAAR) to compare differences both types of firms. This research uses One Sample T-Test, Paired Sample T-Test, and Independent Sample T-Test hypotesis which resulted in several facts, that is: 1) There is a positive market reaction and significant difference in the Trading Volume Activity around the announcement on the Non-SOE issuer, and not to the SOE issuer; 2) There is a market reaction and significant difference in the CAAR Non-SOE issuer, and not to SOE issuers; 3) There is significant differences of CAAR between SOE issuers and Non-BUMN issuers. There are limitations in this study which include the number of samples between BUMN and non-BUMN are not equal so as to probable not ideal calculations and do not reflect the real state. In general, this research can be a consideration of investors in conducting investment activities related to information that has content as well as Credit Rating: Investment Grade, also as a study of academics and government related to the influence of macroeconomic factors in the investment world.
Keywords
Credit Rating, Investment Grade, Abnormal Return, Trading Volume Activity
