Saraswati, Nadia Putri (2021) "Reaksi Pasar Terhadap Pengumuman Kenaikan Sovereign Credit Rating Di Indonesia (Studi Pada Perusahaan Yang Terdaftar Dalam Indeks Lq-45 Dan Indeks Kompas 100 Tahun 2018) ". Sarjana thesis, Universitas Brawijaya.
Abstract
Sovereign credit rating atau dikenal dengan peringkat utang suatu negara merupakan peringkat yang menunjukan tingkat risiko dalam keputusan melakukan investasi di suatu negara, Sovereign credit rating dievaluasi dari segi ekonomi seperti debt service ratio, growth in dosmetic supply dan rasio keuangan penting lainnya serta politik oleh credit rating agency, hasil evaluasi tersebut berupa rating. Salah satu credit rating agency yaitu Moody’s merupakan lembaga pemeringkat independen dan tergolong lembaga pemeringkat internasional yang telah diakui Otoritas Jasa Keuangan maupun Bank Indonesia. Moody’s mengumumkan kenaikan peringkat Indonesia atau Sovereign credit rating Indonesia dari Baa3/Outlook positif menjadi Baa2/outlook Stabil atau dalam kategori layak investasi (Investment grade). Penelitian ini merupakan studi peristiwa yang mengukur apakah terdapat reaksi terhadap pengumuman kenaikan Sovereign credit rating di Indonesia yang diukur melalui abnormal return dan trading volume activity sebelum dan sesudah pengumuman kenaikan Sovereign credit rating di Indonesia. Penelitian ini merupakan penelitian komparatif dengan pendekatan kuantitatif dan bentuk metode event study. Periode penelitian yang digunakan 11 hari kerja bursa (t-5 hingga t-1, t-0, t+1 hingga t+5 ) Pengumuman kenaikan Sovereign credit rating. Penelitian ini menggunakan teknik purposive sampling, hasil penentuan sampel didapatkan 28 perusahaan pada Indeks LQ-45 dan 61 perusahaan pada Indeks Kompas 100 yang tidak melakukan aksi korporasi selama event window. Pengujian yang dilakukan pada penelitian ini merupakan uji beda yang meliputi paired sample t-test dan one sample t-test sebagai uji tambahan. Hasil dari pengujian paired sample t-test pada Indeks LQ-45 tidak ada perbedaan signifikan antara cumulative abnormal return sebelum dan sesudah pengumuman kenaikan Sovereign credit rating di Indonesia. Namun, pada uji one sample t-test ditemukan adanya abnormal return signifikan pada t-4, t-3, t-0, t+3 begitupula pada Indeks Kompas 100 tidak ada perbedaan signifikan antara cumulative abnormal return sebelum dan sesudah pengumuman kenaikan Sovereign credit rating di Indonesia. Namun, pada uji one sample t-test ditemukan adanya abnormal return signifikan pada t-3, t-0, t+1, t+3. Sedangkan hasil pengujian paired sample t-test dengan average trading volume activity pada Indeks LQ-45 dan juga Indeks Kompas 100 tidak menemukan adanya perbedaan signifikan antara average trading volume activity sebelum dan sesudah pengumuman kenaikan Sovereign credit rating di Indonesia.
English Abstract
Sovereign credit rating is a rating that shows the level of risk in the decision to invest in a Country, Sovereign credit rating is evaluated in terms of the economy such as debt service ratio, growth in dosmetic supply and other important financial ratios and politics by credit rating agencies, the evaluation results in the form of ratings. One of the credit rating agencies is Moody's. Moody's is an independent rating agency and classified as an international rating agency that has been recognized by the Financial Services Authority and Bank Indonesia. Moody's announced the increase of Indonesia's sovereign credit rating from Baa3/Outlook positive to Baa2/Outlook stable or in the investment grade category. This study is an event study that measures whether there is a reaction to the announcement of the Sovereign credit rating increasement in Indonesia as measured through abnormal return and trading volume activity before and after sovereign credit rating increasement in Indonesia announcment. This research is comparative research with a quantitative approach and using event study method. The research period used 11 stock exchange working days (t-5 to t-1, t-0, t+1 to t+5) announcement of sovereign credit rating increasement. This study used a purposive sampling techniques, the results of determining the sample were obtained by 28 companies in LQ-45 Index and 61 companies in Kompas 100 Index that do did not take corporate actions during the event window. The tests used in this study are different tests that include paired sample ttest and one sample t-test as additional tests. The results of the paired sample t-test test on the LQ-45 Index did not find any significant difference between cumulative abnormal return before and after the announcement of sovereign credit rating increasement in Indonesia. However, in the one sample t-test, there was a significant abnormal return on t-4, t-3, t-0, t+3 as well as on Kompas 100 Index. There was no significant differences between cumulative abnormal return before and after the announcement of sovereign credit rating increasement in Indonesia. However, in one sample t-test found a significant abnormal return on t-3, t-0, t+1, t+3. While the test results paired sample t-test with average trading volume activity on the LQ-45 Index and Kompas 100 Index, they also did not find any significant differences between the average trading volume activity before and after the announcement of sovereign credit rating increasement in Indonesia.
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 052103 |
| Uncontrolled Keywords: | Pengumuman Sovereign Credit Rating, Investment Grade, Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, Average Trading Volume Activity, Pengumuman Sovereign Credit Rating, Investment Grade, Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, Average Trading Volume Activity |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Unnamed user with username nurmasudah |
| Date Deposited: | 24 Oct 2021 02:17 |
| Last Modified: | 23 Feb 2022 05:14 |
| URI: | http://repository.ub.ac.id/id/eprint/185700 |
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