Analisis Abnormal Return Dan Trading Volume Activity Atas Pengumuman Unusual Market Activity Di Bursa Efek Indonesia

Kurniawan, AriSeta (2017) Analisis Abnormal Return Dan Trading Volume Activity Atas Pengumuman Unusual Market Activity Di Bursa Efek Indonesia. Sarjana thesis, Universitas Brawijaya.

Abstract

Unusual Market Activity (UMA) merupakan sebuah pengumuman yang diterbitkan oleh Bursa Efek Indonesia terkait adanya pergerakan harga ataupun volume yang tidak biasa pada sebuah sekuritas yang diperdagangkan. Penelitian ini bertujuan untuk menguji reaksi pelaku pasar atas pengumuman UMA serta perubahan abnormal return dan trading volume activity sebelum dan sesudah pengumuman. Reaksi dari pelaku pasar yang timbul dalam penelitian ini diproksikan dengan abnormal return dan trading volume activity. Sampel dalam penelitian ini ditentukan menggunakan purposive sampling dari seluruh pengumuman UMA selama periode 2013 – 2015 dan menghasilkan sejumlah 85 pengumuman. Periode pengamatan yang digunakan adalah 21 hari termasuk hari pengumuman UMA. Pegujian hipotesis yang digunakan adalah uji one sample t test serta uji wilcoxon karena data sampel tidak terdistribusi secara normal. Hasil pengujian menunjukkan bahwa terdapat reaksi pasar signifikan yang diproksikan dengan abnormal return dan trading volume activity disekitar tanggal pengumuman UMA. Hasil uji beda juga mendapati adanya perbedaan rata-rata abnormal return dan volume perdagangan pada sebelum dan sesudah pengumuman UMA.

English Abstract

Unusual Market Activity (UMA) is an announcement released by Indonesia Stock Exchange according to unusual price or volume movement in traded securities.This research aims to examine market participant reaction on UMA announcement and abnormal return and trading volume activity changes before and after the announcement. Reaction from market participant that appear in this research proxied by abnormal return and trading volume activity. Samples in this research determined using purposive sampling from all UMA announcements during 2013-2015 and a number of 85 announcements. Observation period that used is 21 days include the day of UMA announcement. Hypothesis testing that used is Wilcoxon test because of the samples aren’t normally distributed. Test results show that there is a difference between average abnormal return and trading volume activity before and after UMA announcement. Test results show that there is a significant market reaction proxied by abnormal return and trading volume activity around the UMA announcement date. Differece test results also found significant differences in the average abnormal return and trading volume before and after UMA announcement.

Item Type:	Thesis (Sarjana)
Identification Number:	SKR/FE/2017/148/051703441
Subjects:	600 Technology (Applied sciences) > 657 Accounting
Divisions:	Fakultas Ekonomi dan Bisnis > Akuntansi
Depositing User:	Kustati
Date Deposited:	26 Apr 2017 09:09
Last Modified:	29 Oct 2021 01:49
URI:	http://repository.ub.ac.id/id/eprint/109426

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