DAMPAK PENGUMUMAN PENERBITAN OBLIGASI PERUSAHAAN TERHADAP ABNORMAL RETURN SAHAM DI INDONESIA TAHUN 2014 – 2015

Abstract. This study aims at investigating the effect of corporate bonds issuance announcement on the stock market in Indonesia over 2014 – 2015. By applying event study and t-test, it is proven that there are significant positive abnormal return one day before the announcement date and significant negative abnormal return five days after the date. This result shows that public has obtained information from the insider as good news before the information is widely disseminated; therefore, they react by transacting in the stock market. Nonetheless, when the offering period ends, market participants react again and there is a market correction five days after the announcement. This result confirms that there is a signalling effect of corporate bonds issuance on the stock market performance and indicates that stock market in Indonesia is inefficient