Syakir, Mohammad Nabil (2018) Reaksi Pasar Modal Pada Indeks Lq45 Di Bursa Efek Indonesia (Studi Peristiwa Terhadap Pelantikan Gubernur Dki Jakarta 2017). Sarjana thesis, Universitas Brawijaya.
Abstract
Pada 16 Oktober 2017, Jakarta meresmikan Gubernur baru. Perubahan politik, diduga mempengaruhi investasi di pasar modal. Tujuan dari penelitian ini adalah untuk mengidentifikasi reaksi pasar modal terhadap pelantikan dengan mengamati rata-rata abnormal return (AAR) dan rata-rata trading volume activity (ATVA). Dengan menggunakan purposive sampling, saham emiten Indeks LQ45 pada periode Agustus 2017 hingga Januari 2018 dipilih sebagai sampel. Periode pengamatan adalah 5 hari sebelumnya, 1 saat, dan 5 hari setelah pelantikan. Data penelitian ini bersifat sekunder, yang dikumpulkan melalui dokumentasi. Variabel penelitian adalah abnormal return dan trading volume activity yang dinilai menggunakan Paired sample t-Test. Hasil uji hipotesis I menunjukkan bahwa tidak ada perbedaan signifikan rata-rata abnormal return (AAR) sebelum dan sesudah pelantikan. Hasil uji hipotesis II menunjukkan bahwa tidak terdapat perbedaan signifikan rata-rata trading volume activity (ATVA) sebelum dan sesudah event. Dengan demikian, tidak terdapat reaksi pasar modal terhadap pelantikan Gubernur DKI Jakarta 2017. Ini berarti bahwa event tersebut tidak mengandung informasi bagi pasar modal.
English Abstract
On October 16, 2017, Jakarta inaugurated the new Governor. Political change, allegedly influenced investment in the capital market. The objective of this research is to identify the reaction of capital market towards the inauguration by observing average abnormal return (AAR) and average volume of trading activity (ATVA). Using purposive sampling, stock issuers of LQ45 Index in the period of August 2017 to January 2018 were selected as the sample. The observation period is 5 days prior, 1 during, and 5 days after the inauguration. The data of this research is secondary,which were collected through documentation. The variables are abnormal return and volume trading activity assessed using Paired sample t-Test. The result of hypothesis I test shows that there is no significant average abnormal return (AAR) difference before and after the inauguration. The result of hypothesis II test shows that there is no significant average trading volume activity (ATVA) difference before and after event. Thus, there is no significant capital market reaction towards the inauguration. This means that the event does not contain information to capital market.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2018/203/051804593 |
| Uncontrolled Keywords: | Pasar Modal, Studi Peristiwa, Abnormal Return, Trading Volume Activ, Capital Market, Event Study, Abnormal Return, Trading Volume Activity |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Nur Cholis |
| Date Deposited: | 03 May 2019 02:48 |
| Last Modified: | 11 Mar 2022 06:56 |
| URI: | http://repository.ub.ac.id/id/eprint/163624 |
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