Reaksi Pasar Atas Penerbitan Sukuk (Studi Pada Emiten Saham Penerbit Sukuk Periode 2008-2012)

Vita Fatimatuzzahra, Leo Herlambang

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Issuance of Sukûk’s corporation, it can be an opportunity for many companies to become proponent necessity for funding and business expansion. Sukûk publication announcement is an information for investors in order to assess it based on their investment decisions. In order to get the investment decisions, investors often based on the signals that had been given by the company. That signal can caused the changes of demand and supply’s shares. This study aims to find out the reaction of the stock from the Sukûk publication as indicated by the presence of abnormal returns around the date of publication and the Trading Volume Activity (TVA) difference which is occured before and after Sukûk publication.

This study uses event study approach, it carries out on 11 issuer stock of Sukûk publisher which is listing in Indonesia Stock Exchange period : 2008-2012. This study also uses observation period for 81 days, they are t - 10 (70 days before publication), t - 0 (event date) and t +10 (10 days after publication). The hypothesis calibration of this thesis uses a one sample t - test and paired t - test.
The results of this study is based on a statistical test with a significance level (α) = 5 %
resulted AAR which was in a significantly positive on t - 2 at 0.03711 and significantly negative
at t +9 of 0.03. In contrast with TVA, the statistic results showed probability value of 0.026,
which means there is a significant different of trading volume activity before and after of
Sukûk publication. The lack of information about Sukûk also caused there is significant AAR
reaction only in some poriods of observation and significant negative TVA .

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