Efisiensi Emisi Saham Baru Di Bursa Efek Jakarta (1989-1990)

This article investigated abnormal return behavior of new issues (IPO) in Indonesian Capital Market. The sample covered 106 new issues from 1989 to 1994. 1989 was the first year of revitalization of Jakarta Stock Exchange, after experiencing the long period of inactive trading. Abnormal return was calculated using market and risk and market adjusted return. Only risk and market adjusted returns were reported in this article, since both methodologies came to the same conclusions. This article found consistent underpricing phenomenon in Jakarta Stock Exchange (JSX). The underpricing phenomenon did not show decreasing trend from year 1989 to 1994, which supported general conclusion that new issues are underpriced. Consistent positive abnormal returns were found on the first day of trading. The days in the first week, or first month, did not show consistent positive abnormal returns. The article found different behaviors between the first years (1989 and 1990) and the last years (1992,1993, and 1994). Unfortunately this article did not find any significant influences of several variables, such as market capitalization, information uncertainty, and industry, on the degree of underpricing. PER (Price Earning Ratio) restrictions imposed by government in 1993/94 did not seem to influence initial (abnormal) return, hence supported general conclusion that there is underpricing phenomenon in Initial Public Offering. This article did not find relationship between initial return and aftermarket pe,fonnance. This article didn't find any significant influences of several hypothesized variables, such as market capitalization, information uncertainty, and industry, on the aftermarket performance. The findings have several implications. Far professionals, a good strategy seems to be buying in the primary market and selling on the first day of trading. Consistent positive abnormal return could be expected. For government, the regulation could be imposed to foster participation of domestic investors. For examples, certain proportion of new shares should be bought by domestic investors (or restrict foreign investors), or certain segment of investors. For academics, this inconsistent finding with market efficiency hyphotesis is a challenge to explain the phenomena further. Keywords: Indonesian Capital Marke