REAKSI PASAR SAHAM TERHADAP PENGUMUMAN PENGURANGAN QUANTITATIVE EASING PADA PERUSAHAAN YANG TERCATAT DI BURSA EFEK INDONESIA

Idrus Mahidin, Najmalinda Zenitha

Abstract


Penelitian ini bertujuan untuk mengetahui reaksi pasar terhadap pengumuman pengurangan quantitative easing tanggal 18 Desember 2013. Reaksi pasar ditunjukkan dengan adanya abnormal return yang signifikan di sekitar tanggal pengumuman serta adanya perbedaan abnormal return sebelum dan sesudah pengumuman. Data yang digunakan adalah data dari emiten yang memiliki nilai market capitalization enam terbesar dari sembilan sektor yang ada di BEI. Metode analisis yang digunakan adalah metode event study dengan event window tanggal 12 sampai dengan 30 Desember, serta tanggal 19 Desember sebagai hari ke-0. Pengujian untuk mengetahui adanya abnormal return yang signifikan di sekitar tanggal pengumuman menggunakan uji One Sample T-test, sedangkan Uji Paired Sample T-test digunakan untuk mengetahui adanya perbedaan abnormal return sebelum dan sesudah pengumuman. Hasil penelitian menunjukkan pengumuman pengurangan quantitative easing mendapat reaksi pasar yang ditunjukkan dengan adanya abnormal return yang signifikan di sekitar tanggal pengumuman. Selain itu, terdapat perbedaan abnormal return yang signifikan sebelum dan sesudah pengumuman pengurangan quantitative easing. Pengumuman ini juga direaksi positif, dimana rata-rata abnormal return setelah pengumuman lebih besar daripada abnormal return sebelum pengumuman.

Kata kunci: quantitative easing, abnormal return, reaksi pasar.

 

This research aims to examine the market reaction due to quantitative easing cut announcement by Federal Reserve that happens on December 18th 2013. The market reaction is indicated by the presence of significant abnormal return that happen around the37quantitative easing cut announcement date. It is also indicated by whether there is any abnormal return difference between pre and post announcement. The stock used in this research is the stock with the value of market capitalization within the top six of each nine sectors in BEI. This research uses event study method. The event window is 12 until 30 December 2013, with 19 December as the event day (day 0). The One Sample T-test is used to examine the presence of significant abnormal return around the quantitative easing announcement date. Meanwhile, the presence of abnormal return difference between pre and post announcement is tested by Paired Sample T-test. The result shows that there is market reaction due to quantitative easing cut announcement, indicated by significant abnormal return on the days around the announcement date. It also shows that there is significant abnormal return difference between pre and post announcement period. The market also reacts positively to the announcement, indicated by higher abnormal return on the post announcement period, compare to the pre announcement period.

Key word: quantitative easing, abnormal return, market reaction.


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