EsterRosaSeptiayudi (2009) Information As An Indicator Of Capital Market Efficiency : Case Studied is The Announcement of a Stock Split on The Manufacturing Company That Traded at Indonesia Stock Exchange within 2004-2007. Sarjana thesis, Universitas Brawijaya.
Abstract
Salah satu informasi yang tersedia di pasar modal adalah pengumuman stock split. Latar belakang penelitian ini adalah ingin membuktikan reaksi pasar akibat pengumuman stock split tersebut dan reaksinya terhadap efisiensi pasar modal, karena banyak hasil dari penelitian terdahulu yang kontroversial. Penelitian ini dilaksanakan dengan menggunakan metode survei data sekunder dengan populasi seluruh perusahaan manufaktur yang melakukan pengumuman stock split pada periode 2004-2007 yang seluruhnya berjumlah 14 perusahaan. Penentuan sampel menggunakan metode purposive sampling. Metode analisis data yang digunakan adalah dengan tiga rasio, yaitu ASRV (Average Security Returns Variability), AAR (Average Returns Variability), dan CAR (Cumulative Abnormal Returns). Hasil pengujian rasio pertama menunjukkan bahwa awalnya investor sempat mengganggap perusahaan akan meningkatkan kesejahteraan mereka dengan adanya peristiwa stock split karena pasar bereaksi meskipun hanya pada saat event day. Sedangkan hasil analisis rasio kedua yaitu AAR bahwa tidak ada nilai abnormal return yang secara signifikan mempengaruhi selama masa pengumuman stock split, karena nilainya semua negatif, dan hasil perhitungan rasio terakhir ketiga yaitu CAR menemukan nilai CAR ternyata kurang dari 1, maka dapat disimpulkan bahwa pasar itu ternyata kurang menggunakan informasi dari pengumuman stock split untuk meninjau kembali keputusan dalam investasi mereka. Hasil penelitian menunjukkan bahwa Bursa Efek Indonesia merupakan pasar yang tidak efisien bila mengacu pada respon pelaku pasar terhadap pengumuman stock split.
English Abstract
One of the information available in the capital market is a stock split announcement. The background of this research is the author want to prove the market reaction due to stock split announcement and the reaction efficiency of capital markets, because there is many of the result of the research is controversial. This research was conducted using secondary survey data with the entire population of manufacturing companies that make the stock split announcement on the whole period 2004-2007 amounted to 14 companies. The sampling determination is using a purposive sampling method.Data analysis method used is the ratio of three, namely ASRV (Average Security Returns Variability), AAR (Average Returns Variability), and the CAR (Cumulative Abnormal Returns).The test result of the first ratio that investors had initially assume the company will increase their welfare with the stock split because the market to react even if only at the time of day event. While the results of analysis of the second ratio is the AAR that there is no abnormal return values that are significantly influenced during the stock split announcement, as the value of all negative, and the results of the calculation of the third of last ratio is CAR value was found less than 1, it can be concluded that the market appeared to use less information from the stock split announcement to review the decision in their investment. Results of research indicate that the Indonesian Stock Exchange is a market that is not efficient when the response to the market to stock split announcements.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2009/501/050902977 |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Unnamed user with email repository.ub@ub.ac.id |
| Date Deposited: | 06 Nov 2009 09:08 |
| Last Modified: | 22 Oct 2021 10:28 |
| URI: | http://repository.ub.ac.id/id/eprint/104390 |
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