KANDUNGAN INFORMASI PENGUMUMAN SAHAM BONUS: STUDI EMPIRIS DI BURSA EFEK INDONESIA

Abstract

The aim of this paper was to investigate the market reaction of bonus share announcement in Indonesia StockExchange. Bonus share was the signal given by company to public or stockholders. If bonus shares announcementconsisted of the information, it would be reacted by the market. There were pros and cons about thefinding of bonus shares announcement. The Standard of event study method had been used for the purpose ofstudying the bonus share issues announcement reaction. The proxies of market reaction were abnormal returnand trading volume activity. In this study, the researcher found a significant negative abnormal return and itmeant that the announcement of bonus share had negative information content. This finding probably meantthat most companies had liquidity problem. The study also found that the average of trading volume activitywas insignificantly decreased after bonus share announcement. This empirical study showed that bonus shareindicated a bad signal for the Indonesia market.