REAKSI PASAR MODAL DARI DAMPAK PERISTIWA BOM PLAZA SARINAH TERHADAP ABNORMAL RETURN PERUSAHAAN LQ 45 YANG TERDAFTAR DI BEI

Ika Yustina Rahmawati(1*), Tiara Pandansari(2)

(1) Fakultas Ekonomi dan Bisnis, Universitas Muhammadiyah Purwokerto
(2) Fakultas Ekonomi dan Bisnis, Universitas Muhammadiyah Purwokerto
(*) Corresponding Author

Abstract

The purpose of this study was to analyze the reaction of the capital market from the impact of the bombing in Jakarta Sarinah Plaza, which will be indicated by the presence or absence of abnormal return. the sample used is the stock of LQ 45, this study is event study so that the observation period will see the reaction on before, during and after the event. In this study period used was H-5 (before the event), H0 (current events) and H + 5 (after the event). Sources of data obtained from yahoo finance, sahamok.com and IDX. The data used in this research is secondary data, such as the closing price of shares has been adjusted (adjusted closing price) and the closing price of IHSG. Data in the form of daily stock price. The data was then analyzed using analytical methods paired sample t-test. The results showed that when viewed from the average abnormal return (AAR) did not show any difference, only the H+3 and H+4 which shows the differences in AAR and signaled their reaction to the stock market to these events that affect market participants in make decisions.

 

Keywords: Average Abnormal Return (AAR), event study, Bomb Sarinah Plaza.

Full Text:

PDF

References

Ananto, Dedy (2014). Pengaruh Pemilu Legislatif Terhadap Abnormal Return Dan Trading Volume Activity Saham Di Jakarta Islamic Index (Studi Kasus Pada Peristiwa Pemilu Legislatif 09 April 2014). Tesis. Fakultas Syari’ah dan Hukum. UIN Sunan Kalijaga

Bodie, et al. 2011. Investment and Portofolio Management. McGraw-Hill

Dosinta, Nina F. 2004. Weak Form of Market Efficient Hypothesis: To See the Increase of Efficiency on Two Different Periods. Tesis Magister Akuntansi. FEB UGM: tidak dipublikasikan

Fama, E, F., et al. 1969. The Adjustment Of Stock Prices To New Information. International Economic Review. Vol. 10, No. 1. Februari

Hartono. J. 2014. Teori Portofolio dan Analisi Investasi. Edisi kesembilan. BPFE. Yogyakarta.

Husnan, Suad. 2009. Teori Portofolio dan Analisis Sekuritas. UPP STIM YKPN. Yogyakarta

Pratama, dkk. 2015. Reaksi Pasar Modal Indonesia Terhadap Peristiwa Politik (Event study Pada Peristiwa Pelantikan Jokowi Sebagai Presiden Republik Indonesia Ke-7). E-Jurnal Universitas Pendidikan Ganesha Vol. 3, No.1

Lamasigi, dkk. 2002. Reaksi Pasar Modal terhadap Peristiwa Pergantian Presiden Republik Indonesia 23 Juli 2001 : Kajian Terhadap Return Saham LQ-45 Di PT. Bursa Efek Jakarta. Simposium Nasional Akuntansi V Semarang

Nurita, Dea. 2014. Event study: Pengumuman Quick Count Pemilu Legislatif 2014. Artikel tidak dipublikasikan.

Setyawasih, Rianti. 2007. Studi Tentang Peristiwa (Event study) Suatu Panduan Riset Manajemen Keuangan Di Pasar Modal. Jurnal Optimal. Vol. 1, No. 1. Maret

Sartono. Agus. 1999. Manajemen Keuangan Teori dan Aplikasi. Edisi ketiga. BPFE. Yogyakarta

Sirait, dkk. 2012. Dampak Pergantian Mentri Keuangan RI Tahun 2010 Terhadap Abnormal Return Perusahaan perbankan yang terdaftar di BEI. E-Jurnal Binar Akuntasi. Vol.1 No.1, September.

Trihendradi, C. 2013. Step By Step IBM SPSS 21: Analisis Data Statistik. Andi. Yogyakarta.

Wicaksono, Bambang W. 2005. Pengujian Price Reversal Terhadap Saham-Saham di Bursa Efek Jakarta. Tesis Magister Sains Management. FEB UGM: tidak dipublikasikan.

https://id.wikipedia.org/wiki/Serangan_Jakarta_2016

Zaqi, Mochamad. 2006. Reaksi Pasar Modal Terhadap Peristiwa-Peristiwa Ekonomi Dan Peristiwa-Peristiwa Social Politik Dalam Negeri (Studi Pada Saham LQ 45 di BEJ Periode Tahun 1999-2003). Tesis Magister Manajemen FEB UNDIP.

DOI: 10.23917/reaksi.v1i2.2728

Article Metrics

Abstract view(s): 2777 time(s)
PDF: 2568 time(s)

Refbacks

  • There are currently no refbacks.