Indonesia Conference Directory

This research aims to analyze the market reaction to the announcement of the acquisition of Investment Grade Indonesia. aims to analyze the reaction of share prices due to the announcement event Indonesias debt rating. This study uses a comparative descriptive research design. The sample used in this study was 41 companies included in the LQ45 index group on the Indonesia Share Exchange. The analysis was conducted using the event study method with a window period of 11 days, i.e., five days before, one day, the date of the event, and five days after the fact. The data used in this study are the daily closing share price and the composite share price index. The expected return calculation in this study uses the market model. The results showed that: (1) There was an abnormal return the day before the announcement of Indonesias debt rating increase. (2) There was no significant difference in the average abnormal return both before and after the announcement of the acquisition of Investment Grade. Based on these results shows that the Indonesian capital market can be said to be efficient because economic events that occur do not cause turmoil on share prices.