ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM ATAS PENGUMUMAN MERGER DAN AKUISISI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2010-2014

NURAISYAH, RIZNITA (2016) ANALISIS ABNORMAL RETURN DAN LIKUIDITAS SAHAM ATAS PENGUMUMAN MERGER DAN AKUISISI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2010-2014. S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT Riznita Nuraisyah, 2016; Analysis of Abnormal Return and Stock Liquidity Announcement of Merger and Acquisition on the Company listed in the Indonesia Stock Exchange (BEI) 2010-2014. Thesis, Jakarta: Concentration of Financial Management, Study Program of Management, Department of Management, Faculty of Economics, State University of Jakarta. The purpose of this study was to analyze how different abnormal return and liquidity of shares before and after the announcement of mergers and acquisitions. Abnormal returns measured by market adjusted model. Liquidity is measured by Trading Volume Activity (TVA) and Amihud Illiquidity Ratio (ILLIQ). The research method used in this research is event study with the period of observation (event windows) for 11 trading days, the 5 trading days before the announcement of the merger and acquisition (n-5 to n-1) and the 5 trading days after the announcement mergers and acquisitions (n + 1 to n + 5). Research sample is determined by purposive samplimg method, and there are 70 companies which announce merger and acquisition between 2010-2014. The results of the hypothesistesting conclude that significant abnormal return at the level of 10%. While the stock liquidity there were no significant differences of liquidity of shares in the period before and after the acquisition. Cumulatively, it is concluded that mergers and acquisitions have no information content, so that market in general give no reaction, it due to the merger and acquisition announcement can’t give positive signal information. market to react, because merger and acquisition announcements can not give a positive signal information Key words: Merger, Acquisitions, Abnormal Return, TVA, ILLIQ.

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