Dampak Pencatatan dan Jatuh Tempo Waran terhadap Harga Saham yang Disertai Waran di Indonesia

Abstract

Abstract. This research discusses the stock abnormal return effect of warrants to its
underlying stock on its listing and maturity date. The sample that is being used for this study is the
stock price changes of stocks backed with warrant in Indonesian stock market for the year 2008 to
2018. Using event study approach to observe stock abnormal return effect on the listing and maturity
date of warrants. The results of this research are that we find a significant negative abnormal return
around the warrants’ listing date. On the warrants’ expiration date, we find a signifiant negative
effect before and after maturity date of in the money warrants. However, a different result is obtained
for the observation of out of the money warrants which does not show any significant abnormal return
on the event window.