T 658.14 Gun r

Reaksi pasar modal Indonesia terhadap peristiwa politik dalam negeri :: Studi peristiwa peledakan bom di gedung Bursa Efek Jakarta

Penulis

Gunawan, Barbara

Pembimbing: Dr. Suwardjono, MSc


ABSTRACT : This research attempts to analyze Indonesian capital market reaction to domestic political event. The bomb explosion event at the Jakarta Stock &change ( JSa building on September 13, 2000 js thefocus o the research. Capital market reaction f to that event is measured by stock price and trading volume changes which occurred around event day. This research is aimed at testing whether the event has an impact on capitaI market activity through stock return and trading volume activity parameters around that event period Uying 46 stocks listed on JSX, this research tests whether there i mean abs normal return diflerence between pre and post event day period. T o measure the reaction, five days before andfive days a f t r as the event period are used as event windows. The result showed that there were abnormal returns in the first and second day afrer the event. Thefirst day abnormal return was negative, while the second day abnormal return was positive. The result of mean diference test showed that statistically, there was diference between abnormal return within Jive days prior the event and abnormal return withinJive a ! q s after the event. The analysis of trading volume activity in JSX showed that statistically there was diference between stock trading volume pre and post f event day. The analysis o trading volume activity in Surabaya Stock Exchange (SSa showed that in spite of the fact that there was an upsurge volume in the first and second day after the event, statistically there was no diference between stock trading volume before and after event &y. Keywords: Event Study, Market Reaction, Abnormal Return, and Trading Volume Activity.

INTISARI : BAB I PENDAHULUAN A. LATAR BELAKANG i .. 11 111 ... iv V vlll ... X x i xii - xlll ... 1 1 5 B. RUMUSAN MASALAH C. TUJUAN PENELITIAN BAB I1 KERANGKA TEORITIS DAN PERUMUSAN HIPOTESIS A. PASAR MODAL, B. INFORMASI D1 P ASAR MODAL DAN EFISIENSl PASAR C. STUD1 PERISTIWA 6 7 7 8 9 11 13 15 16 16 16 16 18 19 D. RETURN ABNORMAL E. AKTIVITAS VOLUME PERDAGANGAN F. TEORI INSENTIF BAB HI METODA PENELITIAN A. RUANG LINGKUP DAN BATMAN PENELITIAN 1. Peristiwa Y ang Diteliti 2. P e r i d Fengamatan

Kata kunci Pasar Modal,Peristiwa Politik
Program Studi S2 Akuntansi UGM
No Inventaris c.1 (2263/H/2001)
Deskripsi xiii, 43 p., bibl., ills., 30 cm
Bahasa Indonesia
Jenis Tesis
Penerbit [Yogyakarta] : Universitas Gadjah Mada, 2001
Lokasi Perpustakaan Pusat UGM
File Tulisan Lengkap dapat Dibaca di Ruang Tesis/Disertasi
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