Wulan, Dewi Cahya (2018) Analisis Abnormal Return dan Trading Volume Activity Terhadap Pengumuman Unusual Market Activity (Studi pada Perusahaan yang Terdaftar dalam Pengumuman Unusual Market Activity di BEI Tahun 2015-2017). Sarjana thesis, Universitas Brawijaya.
Abstract
Pada perdagangan saham di pasar modal, informasi mempunyai peranan penting terutama bagi para investor yang akan melakukan aktivitas di pasar modal. Informasi dapat diperoleh dari berbagai pihak, salah satunya adalah pengumuman Unusual Market Activity (UMA). Pengumuman UMA merupakan pengumuman adanya aktivitas perdagangan dan atau pergerakan harga suatu efek yang tidak biasa pada suatu kurun waktu tertentu di bursa efek yang menurut penilaian bursa dapat berpotensi mengganggu terselenggaranya perdagangan efek yang teratur, wajar dan efisien. Kondisi semakin banyaknya pengumuman UMA ini mencerminkan ketidakpastian pada pasar modal di Indonesia. Penelitian ini memiliki tujuan untuk mengetahui apakah ada perbedaan Abnormal Return (AR) dan Trading Volume Activity (TVA) sebelum dan sesudah pengumuman Unusual Market Activity (UMA). Penelitian ini juga memiliki tujuan untuk mengetahui apakah terdapat reaksi signifikan AR disekitar tanggal pengumuman UMA. Penelitian ini merupakan penelitian kuantitatif. Populasi yang digunakan pada penelitian ini adalah perusahaan-perusahaan yang terdaftar dalam pengumuman UMA di Bursa Efek Indonesia pada tahun 2015-2017. Teknik pemilihan sampel pada penelitian ini adalah purposive sampling, sehingga terpilih 62 perusahaan sebagai sampel. Analisis data menggunakan uji normalitas kemudian menggunakan uji beda Paired Sample T-Test, Wilcoxon Signed Rank Test dan One Sample T-Test. Hasil penelitian ini menunjukkan bahwa terdapat perbedaan AR dan TVA yang signifikan pada periode sebelum dan sesudah pengumuman UMA. Perbedaan rata-rata tersebut mengindikasi bahwa investor memberikan respon negatif terhadap pengumuman UMA. Hasil pengujian juga menunjukan bahwa terdapat reaksi signifikan pada abnormal return disekitar tanggal pengumuman.
English Abstract
In stock trading in capital market, information is the most important thing for investors who will be doing activities in capital market. Information can be obtained from some parties, which is Unusual Market Activity (UMA) announcement. UMA announcement is the announcement of any trading activity or price movement of an unusual effect on a certain period of time on a stock exchange which, in the opinion of the stock exchange, could potentially disrupt the implementation of regular, fair and efficient securities trading. More UMA announcement in capital market, shows uncertainty in capital market. The purpose of this study was to determine whether there is a difference of Abnormal Return (AR) and Trading Volume Activity (TVA) before and after the Unusual Market Activity (UMA) announcement. The purpose of this study also to determine whether there is a significant market reaction abnormal return around UMA announcement. The research is using quantitative methods. The population in this research are companies who listed in UMA announcement year 2015-2017 on Indonesian Stock Exchange. Sample selection technique in this research is purposive sampling, so that selected 62 company as sample. Data analysis in this study is normality of data, different test Paired Sample T-Test, Wilcoxon Signed Rank Test and One Sample T-Test. The result of this study indicate that there is a significant difference in AR and TVA before and after UMA announcement. The difference average indicate that investor give a negative respond over of UMA announcement. Test result also show that there is a significant market reaction abnormal return around UMA announcement date.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2018/629/051808306 |
| Uncontrolled Keywords: | Pengumuman Unusual Market Activity (UMA), Abnormal Return (AR), Trading Volume Activity (TVA), One Sample T-Test.-Unusual Market Activity (UMA) Announcement, Abnormal Return (AR), Trading Volume Activity (TVA), One Sample T-Test. |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.64 Exchange of securities and commodities; speculation > 332.642 Exchange of securities |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | soegeng sugeng |
| Date Deposited: | 27 May 2019 01:32 |
| Last Modified: | 25 Oct 2021 08:41 |
| URI: | http://repository.ub.ac.id/id/eprint/162511 |
Preview |
Text
Dewi Cahya Wulan.pdf Download (45MB) | Preview |
Actions (login required)
 |
View Item |