Korelasi antara Initial Return IPO (IR-IPO) dengan Long Term Underperformance IPO (LTR-IPO) Saham-Saham Perusahaan di Bursa Efek Jakarta  

Oleh:

Bararuallo, Frans

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 5 no. 1 (Feb. 2005), page 14-24.
Topik: Long Term Underperformance IPO; Initial Public Offering; IPO; Initial Return IPO; Anomaly
Fulltext: Frans Bararuallo2.pdf (2.48MB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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There are three strategies a firm can used to get some funds that it needed: using the retainded earnings, issued stocks, or using the debt financing strategy. If the firm decides to use the issued stock strategy, the firm must issued stocks and selling them in the stock exchange (Bursa Efek). The first time the firm selling its stocks in the stock exchange is knowned as the initial public offering (IPO). There are three widely documented IPO anomalies : positive average return (IR), long-term underperformance of IPO shares (LTR-IPO), and hot / cold IPO markets; and there are three form of market, namely weak-form, semi-strong, and strong markets. This research tries to measure the corelation between the IR-IPO and LTR-IPO since 1999 until 2002 by using the data of 115 firms in the Bursa Efek Jakarta (BEJ). In this research we used the IR, LTR, RSI, JSI, JSB, JSL, and KSB variables; and the data are organized by the OLS model and analized by Aviews method. The results of this emperical research (based on the OLS model and Aviews method) revealed that the IR-IPO and the LTR-IPO correlation is negatived (-0.124063) or not significant, but it is still supporting the basic principles of the WIPO model. Off course, the correlation between IR with the RSI (0.081587) and JSB (1.24E-08) are positived, but the correlation between the IR and the JSL is negatived (-3.55E-07). In the long term, the correlation between the LTR with the JSL (2.90E-07) and the KSB (0.518064) are positived, but the correlation between the LTR and the IR is negatived (-0.124063). That means, the investors must be selectived to buy some stocks in the BEJ, in the meaning of the BEJ is stll categoried as the weak-form market. Not a semi-strong market. So, we have some homeworks to pick the BEJ up into the semi-strong position.

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