REAKSI PASAR ATAS PENGUMUMAN PERGANTIAN SAHAM PERUSAHAAN DI INDEKS LQ45 PERIODE 2010-2015

ABSTRACT

This event study to test the market reaction to the announcement of the change in
the company's shares LQ45 Index from 2010-2015. The population in this study
are all the company's shares in the LQ45 index from 2010-2015. This sampling
using purposive sampling method. The research sample obtained is 99 shares of
companies consisting of 51 shares of companies that enter into LQ45 and 48 out
of the company's shares LQ45 index.Testing this hypothesis using the test one
sample t-test. Test results on the first hypothesis dimenunjukkan their positive
market reaction on the shares of companies that enter into LQ45 Index, accepted.
The second hypothesis which showed a negative market reaction on the
company's shares out of the LQ45 Index, accepted.
Keywords: abnormal retun, signaling theory, efficient market and expected return,