Hasanah, Rabiatul (2019) Reaksi Pasar atas Pengumuman Fed Funds Rate (Event Study pada Perusahaan Indeks LQ-45 yang Terdaftar di Bursa Efek Indonesia Tahun 2018). Sarjana thesis, Universitas Brawijaya.
Abstract
Suku bunga acuan Amerika Serikat atau dikenal dengan Fed Funds Rate (FFR) merupakan suku bunga transaksi antar bank di Amerika Serikat yang dijadikan alat untuk mengontrol jumlah uang beredar (perangkat kebijakan moneter). Kebijakan monoter yang dilakukan Amerika Serikat berupa pengumuman Fed Funds rate diduga dapat memengaruhi pasar modal, terutama Indonesia. Penelitian ini merupakan studi peristiwa yang mengukur apakah terdapat reaksi pasar atas pengumuman Fed Funds Rate yang diukur melalui abnormal return dan trading volume activity pada sebelum dan sesudah pengumuman Fed Funds Rate. Penelitian ini adalah penelitian pendekatan kuantitatif dengan menggunakan metode event study. Sesuai dengan metode event study, maka periode penelitian yang digunakan adalah sebanyak 60 hari periode estimasi 11 hari event window (t-5 hingga t-1, t0, t+1 hingga t+5) pengumuman Fed Funds Rate. Penelitian ini menggunakan teknik purposive sampling, hasil dari penentuan sampel tersebut diperoleh 42 perusahaan yang tidak melakukan aksi korporasi selama periode event window. Pengujian yang digunakan dalam penelitian ini adalah uji beda yang meliputi paired sample t-test dan one sample t-test. Selain itu, ditambahkan juga pengujian robustness test untuk menguji kekuatan pengukuran dari metode event study. Hasil dari paired sample t-test tidak menemukan adanya perbedaan yang signifikan pada cumulative abnormal return (CAR) sedangkan average trading volume activity (ATVA) ditemukan perbedaan yang signifikan antara sebelum dan sesudah pengumuman Fed Funds Rate. Pengujian tambahan untuk hasil uji one sample t-test ditemukan adanya signifikansi abnormal return pada periode sebelum pengumuman Fed Funds Rate tepatnya di periode t-4, sedangkan pada periode sesudah pengumuman Fed Funds Rate tepatnya di periode t+1. Selain itu, juga ditemukan hasil signifikansi trading volume activity pada seluruh hari selama event window. Selanjutnya, hasil dari pengujian robustness test menunjukkan hasil yang konsisten dengan kedua hasil uji beda, sehingga metode event study yang dilakukan dalam penelitian ini dianggap kuat.
English Abstract
The United States benchmark interest rate, known as the Fed Funds Rate (FFR), is an interbank transaction interest rate in the United States that is used as a tool to control the money supply (monetary policy tool). The monoter policy carried out by the United States in the form of a Fed Funds rate announcement is expected to affect the capital market, especially Indonesia. This study is an event study that measures whether there is a market reaction to the announcement of the Fed Funds Rate measured by the abnormal return and trading volume activity before and after the Fed Funds Rate announcement. This research is a quantitative approach research using the event study method. In accordance with the event study method, the research period used is 60 days estimated period of 11 event window days (t-5 to t-1, t0, t+1 to t+5) Fed Funds Rate announcements. This study used a purposive sampling technique, the results of determining the sample were obtained by 42 companies that did not take corporate action during the event window period. The test used in this study is a different test which includes paired sample t-test and one sample t-test. In addition, robustness test is also added to test the measurement strength of the event study method. The results of the paired sample t-test did not find any significant differences in cumulative abnormal return (CAR) while average trading volume activity (ATVA) found significant differences between before and after the Fed Funds Rate announcement. Additional testing for the results of the one sample t-test found the significance of abnormal returns in the period before the announcement of the Fed Funds Rate precisely in the period t-4, while in the period after the announcement of the Fed Funds Rate precisely in the period t+1. In addition, the results of the significance of the trading volume activity found throughout the day during the event window are also found. Furthermore, the results of the robustness test show results that are consistent with the two different test results, so that the event study method carried out in this study is considered strong.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2019/439/051906479 |
| Uncontrolled Keywords: | Pengumuman Fed Funds Rate, Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, Average Trading Volume Activity |
| Subjects: | 600 Technology (Applied sciences) > 658 General management > 658.1 Organization and financial management > 658.15 Financial management > 658.152 Management of financial operations |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Endang Susworini |
| Date Deposited: | 15 Nov 2020 16:01 |
| Last Modified: | 30 Mar 2022 07:00 |
| URI: | http://repository.ub.ac.id/id/eprint/172403 |
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