Penelitian ini bertujuan untuk mengidentifikasi apakah rekomendasi saham dari analis perusahaan sekuritas yang dipublikasikan di Bloomberg Terminal dapat mempengaruhi return dan volume perdagangan saham. Untuk mengukur abnormal return digunakan metode event study dan untuk mengukur volume perdagangan saham digunakan rerata trading volume activity. Sampel penelitian terdiri dari 208 sampel untuk rekomendasi buy dan 102 sampel untuk rekomendasi sell. Berdasarkan hasil pengujian, ditemukan adanya abnormal return yang signifikan pada hari dipublikasikannya rekomendasi saham hingga dua hari setelahnya baik untuk rekomendasi buy maupun rekomendasi sell. Ditemukan pula adanya perbedaan rerata abnormal return yang siginifikan secara statistik antara sebelum dan sesudah dipublikasikannya rekomendasi buy dan sell, sedangkan pengaruhnya terhadap volume perdagangan saham secara statistik tidak signifikan walupun ditemukan adanya peningkatan rerata volume perdagangan saham setelah rekomendasi buy dan sell dipublikasikan.

The objective of this research is to identify whether stock recommendations from securities company analysts published in Bloomberg Terminal can affect the stock return and trading volume. Event study method is used to measure abnormal retun and trading volume activity is used to measure the stock trading volume. The research sample consisted of 208 samples for buy recommendations and 102 samples for sell recommendations. Based on the results of the test, found a significant abnormal return on the day of the publication of stock recommendations up to two days thereafter for buy recommendations and sell recommendations, also found statistically significant result on difference of average abnormal return before and after the publication of buy and sell recommendations, while the effect on stock trading volume was not statistically significant even though there was an increase in the average trading volume activity after buy and sell recommendations was published.

Kata Kunci : Even study, abnormal return, average abnormal return, trading volume activity