THE ANALYSIS OF THE EFFECT OF THE INITIAL PUBLIC OFFERING ACTIVITY OF THE COMPANY ON IHSG MARKET RETURN DURING THE PERIOD OF 2013–2017

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