PERBANDINGAN REAKSI PASAR MODAL TERHADAP SAHAM YANG KONSISTEN DENGAN YANG TIDAK KONSISTEN TERGABUNG DALAM INDEKS LQ45

LQ45 index list announcement is important information for investors to make decision, because shares within the list are shares with high liquidity and market capitalization. This research examined capital market reaction comparison toward consistent and inconsistent share fused within LQ45 index list resulted from announcement of the share exiting and entering within LQ45 index list. This research using event study method by rate adjusting model and market adjusting model to estimate normal return occurred. Hypothetic test using parametric and non-parametric test, test result showed no evidence of larger negative abnormal return for consistent entering share and entering inconsistent share caused by the announcement of share exiting from LQ45 index list and proved no larger positive abnormal return for consistent exiting share compared to inconsistent exiting share caused by announcement of share entering to LQ45 index list. Researcher suspected that investors still have great expectation to consistent entering share which then accounced to be exiting LQ45 index list although there were negative information regarding these shares. Whereas consistent exiting share wchich then announced to be entering LQ45 index list investors are still very careful to invest to these shares, although there were positive information yet investors still have conisderations in the share consistency in maintaining their performance