Andarini, Diah (2015) Analisis Reaksi Pasar Modal Terhadap Perubahan Harga Bbm (Event Study Kenaikan Dan Penurunan Harga Bbm Pada Perusahaan Food And Beverages Yang Terdaftar Di Bursa Efek Indonesia). Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini dilakukan untuk mengetahui reaksi pasar modal secara keseluruhan terhadap suatu peristiwa, atau lebih disebut dengan penelitian event study yang mempelajari reaksi pasar terhadap suatu peristiwa yang informasinya dipublikasikan sebagai suatu pengumuman. Penelitian event study ini menggunakan pengujian kandungan informasi (information content) dari suatu pengumuman untuk melihat reaksi dari pengumuman perubahan harga BBM saat mengalami kenaikan pada tanggal 18 November 2014 dan juga saat mengalami penurunan pada tanggal 19 Januari 2015. Penelitian ini mengambil sampel pada perusahan food and beverages yang sahamnya aktif diperdagangkan dan terdapat kelengkapan data selama periode pengamatan mulai dari 30 September 2014 sampai dengan 26 Januari 2015. Periode penelitian yang digunakan adalah selama 41 hari bursa, yang meliputi periode estimasi (estimation period) selama 30 hari, dan periode jendela (event window) selama 11 hari. Periode jendela terdiri atas 5 hari sebelum pengumuman (pre event window), 1 hari saat pengumuman (event date), dan 5 hari setelah pengumuman (post event period). Hasil pengujian hipotesis I dan hipotesis II terkait kenaikan BBM menunjukkan tidak terdapat perbedaan average abnormal return saham dan tidak terdapat pula perbedaan average trading volume activity saham yang signifikan sebelum dan sesudah pengumuman. Namun, hasil pengujian hipotesis III terkait penurunan BBM menunjukkan terdapat perbedaan average abnormal return saham yang signifikan sebelum dan sesudah pengumuman. Sedangkan, hasil pengujian hipotesis IV terkait penurunan BBM menunjukkan tidak terdapat perbedaan average trading volume activity saham yang signifikan sebelum dan sesudah pengumuman.
English Abstract
This study was conducted to determine the overall capital market reaction to an event, or so called event study which studied the market reaction to an event that information is published as an announcement. This event study using testing information content of an announcement to see the reaction of the announcement of the current fuel price changes increased on 18 November 2014 and is also currently experiencing a decrease on January 19, 2015. This study took a sample on the food and beverage company whose shares are actively traded and completeness of the data during the observation period ranging from 30 September 2014 to 26 January 2015. The period of the study is over 41 trading days, which covers the period of estimation (estimation period) during 30 days, and the period of the window (event window) for 11 days. Window period consisted of 5 days prior to the announcement (pre-event window), one day when the announcement (event date), and 5 days after the announcement of the (post-event period). The results of testing hypothesis I and II related to the increase in fuel showed no difference in average abnormal stock returns and there are also differences in average trading volume activity significant share before and after the announcement. However, the results of testing hypothesis III related to a decrease in fuel shows that there are differences in average abnormal stock returns are significantly before and after the announcement. Meanwhile, the results of testing hypothesis IV related to a decrease in fuel showed no difference in average trading volume activity significant share before and after the announcement.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2015/298/ 051503773 |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Kustati |
| Date Deposited: | 18 Jun 2015 11:34 |
| Last Modified: | 18 Jun 2015 11:34 |
| URI: | http://repository.ub.ac.id/id/eprint/107883 |
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