Antisipasi Pasar Terhadap Perubahan Peringkat Obligasi
Studi Empiris Dari Emiten Yang Dinilai Oleh Pt Pemeringkat Efek Indonesia (PT Pefindo)
DOI:
https://doi.org/10.37849/midi.v24i2.435Keywords:
Perubahan peringkat obligasi, Antisipasi pasar, Konsentrasi kepemilikan saham, Return sahamAbstract
Dengan mempertimbangkan faktor antisipasi pasar, penelitian ini melihat pengaruh perubahan peringkat obligasi terhadap return saham. Konsentrasi kepemilikan saham dan rata-rata kumulatif pengembalian abnormal berfungsi sebagai indikator antisipasi pasar dan return saham. 40 sampel yang diperoleh lalu diuji menggunakan analisis one-sample t-test. Contoh kriteria terdiri dari korporasi yang tercatat sebagai penerbit saham dan obligasi, telah dinilai oleh PT Pemeringkat Efek Indonesia (PT PEFINDO), dan telah mengalami perubahan peringkat antara tahun 2014 dan 2018. Temuan ini menunjukkan bahwa perubahan peringkat obligasi, termasuk peningkatan dan penurunan peringkat, secara substansial dipengaruhi oleh return saham. Hasilnya juga menunjukkan bahwa pasar telah mengantisipasi informasi yang berasal dari perubahan peringkat obligasi.
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