Perbandingan Reaksi Pasar Terhadap Pengumuman Penerimaan Annual Report Award dan Indonesian Quality Award
LASTRIENI, SHELVI (Adv.: Suad Husnan, Dr., M.B.A.), Suad Husnan, Dr., M.B.A.
Penelitian ini merupakan studi peristiwa yang menguji dan membandingkan reaksi pasar modal Indonesia terhadap pengumuman Annual Report Award dan Indonesian Quality Award. Reaksi pasar diukur dengan mengestimasi perubahan nilai abnormal return perusahaan pemenang penghargaan di sekitar tanggal pengumuman. Hasil pengujian menunjukkan bahwa pasar bereaksi secara positif dan signifikan terhadap pengumuman Annual Report Award pada hari pertama setelah pengumuman (AAR = 0,0250, t = 2,0340, ρ = 0,05). Namun demikian, tidak ada reaksi yang signifikan yang ditemukan pada pengumuman Indonesian Quality Award. Uji beda rata-rata menunjukkan bahwa nilai rata-rata abnormal return perusahaan pemenang ARA secara signifikan berbeda dari nilai rata-rata abnormal return pemenang IQA pada hari pertama (t = 1,941, ρ = 0,10) dan hari keempat (t = 1,954, ρ = 0,10) setelah pengumuman. Memenangkan Annual Report Award juga menyiratkan informasi mengenai risiko sistematis perusahaan. Terdapat penurunan nilai beta yang signifikan secara statistik pada saham-saham perusahaan pemenang Annual Report Award (semula 1,16 menjadi 0,97, t =2,022; ρ = 0,05). Namun, tidak demikian dengan nilai beta perusahaan- perusahaan pemenang Indonesian Quality Award. Meskipun terjadi penurunan nilai beta, namun secara statistik penurunan tersebut tidak menunjukkan nilai yang signifikan (semula 1,13 menjadi 0,99, t = 0,770; ρ = 0,05).
This thesis is an event study to investigate and compare the reaction of Indonesian stock market to Annual Report Award and Indonesian Quality Award announcements. Stock market reaction is measured by estimating the change of average abnormal return in the stock prices of sample of firms on the date when information about winning the awards was publicly announced. Market model used to generate the abnormal returns. The results show that the stock market reacts positively to Annual Report Award announcement. The average abnormal return statistically significant on the first day after the announcement (AAR =0,0250, t = 2,0340, ρ = 0,05). However, there is no evidence that the stock market reacts to Indonesian Quality Award announcement. By comparing the average abnormal returns of ARA and IQA winners, it shows a statistically significant differences on the first (t = 1,941, ρ = 0,10) and the fourth (t = 1,954, ρ = 0,10) day after the announcements. Winning Annual Report Award also conveys information about the systematic risk of the firm. There is a statistically significant decrease in betas of Annual Report Award winners after the announcement (from 1,16 to 0,97, t = 2,022; ρ = 0,05). However, winning Indonesian Quality Award does not convey it. Statistically, there is no evidence of decreasing in betas of the firm of Indonesian Quality Award after the announcement (from 1,13 to 0,99, t = 0,770; ρ = 0,05).
Kata Kunci : Annual Report Award, Indonesian Quality Award, Stock Market Reaction, Abnormal Return, Event Study.
