PENGARUH PENGUMUMAN UPGRADE DAN DOWNGRADE PERINGKAT OBLIGASI TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA
    Volume: Vol. 1, No. 3, Oktober 2017
    Penulis: Nurjanah Ariyanti date: 2017-10-25

    The objective of the research is to analyze the effect of bond rating changes announcement (upgrade and downgrade) to stock return. The event date is the time when PT Pefindo as a rating agency in Indonesia announce the changes of bond rating.
    This research was done to know the reaction of stock price in Indonesian Stock Exchange to event of bond rating upgrade and downgrade announcement. The samples were the companies that had bond rating upgrade and downgrade at November 2004 until January 2008.
    Generally, there were negative abnormal return at bond rating downgrade announcement and there were weaker postif abnormal return or there were no positive abnormal return at bond rating upgrade announcement. Event study method is used to analyze information content from bond rating changes announcement. The result is Indonesian Capital Market, especially Indonesian Stock Exchange significanly react to bond rating upgrade and do not react to downgrade announcement. Although statistically there is no react to bond rating downgrade, graph pf AAR show the negative trend and we can say that bond rating downgrade has negative effect to abnormal return.

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