Bond Rating Change Announcement and the Effect on Stock and Bond Return
| Main Authors: | Fathia Hapsari Pireningtyas; Universitas Indonesia, Umanto Eko P.; Universitas Indonesia |
|---|---|
| Format: | application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Universitas Indonesia
, 2014
|
| Online Access: |
http://journal.ui.ac.id/index.php/jbb/article/view/3064 |
| ctrlnum |
article-3064 |
|---|---|
| fullrecord |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><title lang="en-US">Bond Rating Change Announcement and the Effect on Stock and Bond Return</title><creator>Fathia Hapsari Pireningtyas; Universitas Indonesia</creator><creator>Umanto Eko P.; Universitas Indonesia</creator><description lang="en-US">Abstract. This research uses event study method in order to examine the difference in abnormal returns for stocks (average abnormal return) and bonds (spread yield). The sample used is listed companies in Indonesian Stock Exchange for the period 2007-2011 which issue corporate bonds and have bond rating changes issued by PT Pefindo. The analyses of this research were performed using one sample t test, paired t test, and multiple regression method. The results showed that: 1) There is no significant difference on average abnormal stock returns and abnormal bond returns before the announcement, during the announcement, and after the announcement of bond rating changes, 2) Cumulative return of stock increases following bond rating upgrades and decreases following bond rating downgrades although both are insignificant. In contrast, the cumulative return for bonds decreases significantly following bond rating upgrades and increases insignificantly following bond rating downgrade, and 3) The magnitude of bond rating changes gives no significant positive effect on average abnormal stock returns and spread yield.Keywords: abnormal return, bond rating changes, event study, spread yield&nbsp;Abstrak. Penelitian ini menggunakan metode event study untuk menguji perbedaan abnormal return untuk saham (average abnormal return) dan obligasi ( yield spread ). Sampel yang digunakan dalam penelitian ini adalah perusahaan yang terdaftar di Bursa Efek Indonesia periode 2007-2011, mengeluarkan obligasi korporasi, dan mengalami perubahan peringkat obligasi yang diterbitkan oleh PT Pefindo. Analisis data dilakukan dengan menggunakan uji one sample t , paired t , dan metode regresi berganda . Hasil penelitian menunjukkan bahwa : pertama, tidak terdapat perbedaan yang signifikan pada average abnormal stock return dan abnormal bond return baik sebelum pengumuman, saat pengumuman, dan setelah pengumuman perubahan peringkat obligasi; kedua, imbal hasil kumulatif untuk saham meningkat ketika pengumuman upgrade peringkat obligasi dan menurun ketika pengumuman downgrade peringkat obligasi, sementara itu, imbal hasil kumulatif untuk obligasi menurun ketika pengumuman upgrade peringkat obligasi dan meningkat ketika pengumuman downgrade peringkat obligasi; dan ketiga, besaran perubahan peringkat obligasi berpengaruh positif (tetapi tidak signifikan) terhadap average abnormal stock return dan average bond return.Kata kunci: abnormal return, bond rating changes, event study spread yield</description><publisher lang="en-US">Universitas Indonesia</publisher><contributor lang="en-US"/><date>2014-04-11</date><type>Other:</type><type>File:application/pdf</type><identifier>http://journal.ui.ac.id/index.php/jbb/article/view/3064</identifier><source lang="en-US">Bisnis & Birokrasi Journal; Vol 20, No 2 (2013): May</source><language>eng</language><rights>offer open access</rights><recordID>article-3064</recordID></dc>
|
| language |
eng |
| format |
Other: Other File:application/pdf File Journal:eJournal Journal |
| author |
Fathia Hapsari Pireningtyas; Universitas Indonesia Umanto Eko P.; Universitas Indonesia |
| title |
Bond Rating Change Announcement and the Effect on Stock and Bond Return |
| publisher |
Universitas Indonesia |
| publishDate |
2014 |
| url |
http://journal.ui.ac.id/index.php/jbb/article/view/3064 |
| contents |
Abstract. This research uses event study method in order to examine the difference in abnormal returns for stocks (average abnormal return) and bonds (spread yield). The sample used is listed companies in Indonesian Stock Exchange for the period 2007-2011 which issue corporate bonds and have bond rating changes issued by PT Pefindo. The analyses of this research were performed using one sample t test, paired t test, and multiple regression method. The results showed that: 1) There is no significant difference on average abnormal stock returns and abnormal bond returns before the announcement, during the announcement, and after the announcement of bond rating changes, 2) Cumulative return of stock increases following bond rating upgrades and decreases following bond rating downgrades although both are insignificant. In contrast, the cumulative return for bonds decreases significantly following bond rating upgrades and increases insignificantly following bond rating downgrade, and 3) The magnitude of bond rating changes gives no significant positive effect on average abnormal stock returns and spread yield.Keywords: abnormal return, bond rating changes, event study, spread yield Abstrak. Penelitian ini menggunakan metode event study untuk menguji perbedaan abnormal return untuk saham (average abnormal return) dan obligasi ( yield spread ). Sampel yang digunakan dalam penelitian ini adalah perusahaan yang terdaftar di Bursa Efek Indonesia periode 2007-2011, mengeluarkan obligasi korporasi, dan mengalami perubahan peringkat obligasi yang diterbitkan oleh PT Pefindo. Analisis data dilakukan dengan menggunakan uji one sample t , paired t , dan metode regresi berganda . Hasil penelitian menunjukkan bahwa : pertama, tidak terdapat perbedaan yang signifikan pada average abnormal stock return dan abnormal bond return baik sebelum pengumuman, saat pengumuman, dan setelah pengumuman perubahan peringkat obligasi; kedua, imbal hasil kumulatif untuk saham meningkat ketika pengumuman upgrade peringkat obligasi dan menurun ketika pengumuman downgrade peringkat obligasi, sementara itu, imbal hasil kumulatif untuk obligasi menurun ketika pengumuman upgrade peringkat obligasi dan meningkat ketika pengumuman downgrade peringkat obligasi; dan ketiga, besaran perubahan peringkat obligasi berpengaruh positif (tetapi tidak signifikan) terhadap average abnormal stock return dan average bond return.Kata kunci: abnormal return, bond rating changes, event study spread yield |
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