REAKSI PASAR SAHAM INDONESIA TERHADAP PENGUMUMAN KENAIKAN SUKU BUNGA THE FEDERAL RESERVE BANK

PANGONDIAN HARAHAP, Prof. Marwan Asri, M.B.A., Ph.D.

2016 | Tesis | S2 Manajemen

Penelitian ini merupakan studi peristiwa yang mengukur apakah terdapat perolehan diluar kebiasaan (abnormal return) dan perbedaan rata-rata perolehan diluar kebiasaan (average abnormal return) pada sebelum dan sesudah peristiwa pengumuman kenaikan suku bunga The Fed. Penelitian ini dapat digunakan bagi investor dalam menentukan keputusan di pasar saham jika peristiwa serupa terulang kembali. Sampel penelitian adalah seluruh saham indeks LQ45 dengan periode estimasi selama 40 hari bursa (13 Oktober 2015 hingga 8 Desember 2015) dan periode jendela 5 hari sebelum dan sesudah peristiwa tanggal 17 Desember 2015, yakni 10 Desember 2015 hingga 28 Desember 2015. Data yang dikumpulkan kemudian dihitung melalui beberapa tahap untuk selanjutnya dilakukan uji-t untuk mengukur abnormal return dan perbedaan average abnormal return di periode jendela sebagaimana hipotesis penelitian. Hasil pengujian menunjukan bahwa tidak terdapat abnormal return dan perbedaan average abnormal return sebagai dampak pengumuman suku bunga The Fed. Hal tersebut dikarenakan hasil t hitung dan t tabel pada pengujian abnormal return adalah -0,588 < 2,7764. Begitu juga dengan hasil pengujian perbedaan average abnormal return diperoleh nilai -0,588 < 2,7764, dengan demikian dapat dikatakan H1 dan H2 ditolak. Kata kunci: studi peristiwa, pengumuman kenaikan suku bunga The Fed, abnormal return, average abnormal return.

This research is a study of events that measure whether there is an abnormal return and the difference of average abnormal return before and after the events of the rate hike announcement of the Fed. This research can be used for investors to make the decision in the stock market if similar incidents recur. The samples are all shares LQ45 on the estimation period for 40 trading days (October 13, 2015 until December 8, 2015) and a window period of five days before and after the events of December 17, 2015, which is December 10, 2015 until December 28, 2015. Data which collected later calculated through several steps to the t-test then performed to measure the differences in average abnormal return and abnormal return in the window period as the research hypothesis. The test results showed that there was no difference in average abnormal return and abnormal return as the impact of the Fed's interest rate announcement. That is because the t arithmetic and t table on testing abnormal return is -0.588<2.7764. Likewise with the test results obtained by the difference of average abnormal return -0.588 value <2.7764, thus it can be said H1 and H2 is rejected. Keywords: study of events, the announcement of the Fed's interest rate hikes, abnormal return, average abnormal return.

Kata Kunci : studi peristiwa, pengumuman kenaikan suku bunga The Fed, abnormal return, average abnormal return/study of events, the announcement of the Fed's interest rate hikes, abnormal return, average abnormal return