THE EFFECT OF RATING, VALUE AND TRADING VOLUME OF SUKUK ON CUMULATIVE ABNORMAL RETURN (STUDY OF COMPANY LISTED AT IDX WITHIN PERIODE 2012-2015)

Abstract

This research analyzes the influence of Sukuk (Islamic equivalent of bonds) rating, Sukuk value and trading volume of Sukuk to capital market represented by the abnormal return of cumulative of company issuing Sukuk. Quantitative research methods with population and sample data taken from PT Pefindo and PT KSEI, and listed on Indonesia Stock Exchange (IDX) for 2012-2015. There are 28 samples of 37 issuing transactions from selected companies issuing Sukuk. The data owned is processed using SPSS program with multiple linear regression analysis. The results showed that simultaneously the rating, value and trading of Sukuk affect the capital market. While partially Sukuk value has no significant effect on the capital market. Then, the variables that have a significant influence on the cumulative abnormal return are Sukuk rating and trading volume. Finally, the company with the increased of rating and trading volume would experience increasing on their cumulative abnormal returns.