TY - JOUR
T1 - The analysis of the effect of the initial public offering activity of the company on IHSG market return during the period of 2013-2017
AU - Yosiafat,
AU - Wijaya, Chandra
N1 - Funding Information:
We thank the Universitas Indonesia for providing financial assistance through the PITMA-B Grant and the Research Cluster of Governance and Competitiveness, Faculty of Administrative Science, Universitas Indonesia for helping to provide literature and supporting data in writing this manuscript, specifically to Muhammad Mizani Umaro Aldata & Jonathan Chandra who has helped in the improvement of this manuscript.
Publisher Copyright:
© IAEME Publication Scopus Indexed
PY - 2020/5
Y1 - 2020/5
N2 - This research aims to analyze the effect of the initial public offering activity of a company on the IDX Composite (IHSG) using the ARCH/GARCH method in the period of 2013-2017. The data used consists of subscription date, listing date, issuing size, frozen fund period, unfrozen fund period and daily stock market return. The initial public offering is divided into six events, namely pre-offering day, offering day, frozen period, unfrozen period, listing day, and post listing day. This research employed Autoregressive Conditional Heteroskedasticity/Generalized Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) method using the best and suitable model with the Akaike Info Criterion and Schwarz Criterion which is GARCH (1,1). The result shows that offering day has the negative effect and frozen period has the positive effect on IDX Composite (IHSG) market return. Meanwhile, pre-offering day, unfrozen period, listing day, and post-listing have no effecton on IHSG market return.
AB - This research aims to analyze the effect of the initial public offering activity of a company on the IDX Composite (IHSG) using the ARCH/GARCH method in the period of 2013-2017. The data used consists of subscription date, listing date, issuing size, frozen fund period, unfrozen fund period and daily stock market return. The initial public offering is divided into six events, namely pre-offering day, offering day, frozen period, unfrozen period, listing day, and post listing day. This research employed Autoregressive Conditional Heteroskedasticity/Generalized Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) method using the best and suitable model with the Akaike Info Criterion and Schwarz Criterion which is GARCH (1,1). The result shows that offering day has the negative effect and frozen period has the positive effect on IDX Composite (IHSG) market return. Meanwhile, pre-offering day, unfrozen period, listing day, and post-listing have no effecton on IHSG market return.
KW - ARCH/GARCH
KW - IDX Composite (IHSG)
KW - Initial Public Offering
KW - Market Return
UR - http://www.scopus.com/inward/record.url?scp=85086108650&partnerID=8YFLogxK
U2 - 10.34218/IJM.11.5.2020.065
DO - 10.34218/IJM.11.5.2020.065
M3 - Article
AN - SCOPUS:85086108650
SN - 0976-6502
VL - 11
SP - 728
EP - 740
JO - International Journal of Management
JF - International Journal of Management
IS - 5
ER -