Tesis ini membahas return dan volume perdagangan abnormal berkaitan dengan pengumuman saham bonus oleh perusahaan-perusahaan yang tercatat di Bursa Efek Indonesia selama periode 2000 hingga 2008. Metodologi studi peristiwa digunakan untuk mempelajari reaksi dari pengumuman saham bonus. Hasilnya menunjukkan ada return dan volume perdagangan abnormal yang positif dan signifikan seputar pengumuman. Regresi cross sectional menunjukkan rasio bonus dan ukuran perusahaan tidak mempengaruhi return abnormal. Selanjutnya dibuktikan bahwa kumulatif return abnormal sebelum pengumuman secara statistik berhubungan dengan reaksi seputar pengumuman saham bonus.

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This study examines abnormal return and trading volume associated with the announcement of bonus share issues by companies hsted on Indonesian Stock Exchange over the period 2000 to 2008. Event study methodology is used for the purpose of studying the bonus share announcement reaction. The result indicate that there are significant positive abnonnal return and trading volume around the announcement. Cross sectional regression shows that the bonus ratio and the size of the firm do not affect the abnormal return of the company. Fnrther it has been evidenced that the pre-anouncement cumulative abnonnal return is statistically related to price reaction around the bonus share announcement