PENGUJIAN DAMPAK PENGUMUMAN KENAIKAN TARGET FEDERAL FUNDS RATE 17 DESEMBER 2015. TERHADAP SAHAM PERUSAHAAN-PERUSAHAAN YANG TERCATAT DALAM INDEKS LQ45

SUBHAN NURKHALIK, I Wayan Nuka Lantara, M.Si., Ph.D

2016 | Tesis | S2 MANAJEMEN (MM) JAKARTA

INTISARI Kandungan informasi kebijakan makro ekonomi dari suatu negara terutama negara dengan perekonomian yang lebih besar berpotensi mempengaruhi pasar keuangan negara lain. Salah satu instrumen kebijakan makro ekonomi negara maju yang selalu menjadi sorotan dunia adalah fed funds rate (FFR). Tan dan Shrestha (2005) menemukan lima dari enam pasar saham Asia bereaksi terhadap kebijakan makro ekonomi AS berupa perubahaan target Federal Funds Rate (FFR). Setelah hampir sembilan tahun tidak mengalami kenaikan, pada tanggal 16 desember 2015 (17 desember 2015 WIB), Bank Sentral AS (The Fed) mengumumkan kenaikan target fed funds rate. Di saat waktu yang bersamaan terjadi anomali transaksi di pasar modal Indonesia. Penelitian ini bertujuan untuk menguji pengaruh pengumuman kenaikan target FFR terhadap saham-saham yang tergabung dalam indeks LQ45 sekitar pengumuman kenaikan target FFR. Metode yang digunakan adalah pengujian signifikansi abnormal return di sekitar peristiwa pengumuman kenaikan target FFR. Penelitian ini juga melakukan pengujian terhadap perbedaan foreign sell, domestic sell, foreign buy serta domestic buy sebelum dan sesudah peristiwa pengumuman kenaikan target FFR. Hasil penelitian diperoleh bahwa terdapat abnormal return di sekitar peristiwa dan terdapat perbedaan foreign sell sebelum dan sesudah peristiwa kenaikan FFR. Sedangkan domestic sell, foreign buy serta domestic buy tidak terdapat perbedaan sebelum dan sesudah peristiwa kenaikan FFR. Kata kunci: federal funds rate, abnormal return, foreign sell, domestic sell, foreign buy, domestic buy.

ABSTRACT The information content of macroeconomic policies of a country, especially a country with greater economic potential to affect the financial markets of other countries. One of macroeconomic policy instruments of developed countries are always in the spotlight of the world is fed funds rate (FFR). Tan and Shrestha (2005) found that five of the six Asian stock markets reacted to US macroeconomic policies in the form of the change in the target of Federal Funds Rate (FFR). After nearly nine years did not increase, on 16 December 2015 (17 December 2015 GMT), the US central bank (the Fed) announced an increase in the target of fed funds rate. At the same time when there are anomalies in the Indonesian capital market transactions. This study aimed to examine the effect of the announcement of the increase in FFR targets on shares incorporated in LQ45 around the announcement of the increase FFR targets. The method used is of significance testing abnormal returns around the announcement of the increase FFR targets. The study also tested the differences in foreign sell, domestic sell, foreign buy as well as domestic buy before and after announcement of the increase FFR targets. The result showed that there are abnormal returns around the event and there are differences in foreign sell before and after announcement of the increase FFR targets. While the domestic sell, foreign buy and domestic buy are no difference before and after announcement of the increase in FFR targets. Keywords: federal funds rate, abnormal return, foreign sell, sell domestic, foreign buy, buy domestic.

Kata Kunci : federal funds rate, abnormal return, foreign sell, domestic sell, foreign buy, domestic buy.