Efek Model return ekspektasi dan pengelompokan industri pada reaksi pasar saham di BEJ terhadap Bom Marriot
Prasetyo, Jarot (adv. Dr. Erni Ekawati, MSA., MBA), Dr. Erni Ekawati, MSA., MBA
Mereplikasi sebagian simulasi Brown dan Warner (1980,1985), penelitian yang menyelidiki kejatuhan harga-harga saham yang diperdagangkan di BEJ ini, setelah peristiwa peledakan bom di Hotel Marriott Jakarta, 5elasa, 5 Agustus 2003, sekitar jam 12.00 WIB; menemukan bukti bahwa pasar bereaksi signifikan terhadap peristiwa tersebut. Menggunakan 3 model return ekspektas: Market-Adjusted Return Model (MAR), Market Model, dan Mean-Adjusted Model; dalam kondisi dimana asumsi data abnormal return berdistribusi normal, dan asumsi bahwa independent and identically distributed (iid) berlaku, pengujian ini juga membuktikan adanya reaksi pasar yang konsisten dalam ketiga model tersebut.
Tetapi, jika kedua asumsi tersebut dilanggar, dimana data yang digunakan adalah data abnormal return yang berdistribusi tidak normal, dan peristiwanya event time clustering; yang berarti pelanggaran terhadap reaksi pasar ditunjukkan hanya oleh saham-saham yang return ekspektasinya diukur melalui Mean-Adjusted Model. Dipandang dari sisi model return ekspektasi yang digunakan, perbedaan reaksi pasar ini diakibatkan oleh, salah satunya, pemilihan model-model tersebut sebagai standar pengukuran abnormal return, karena terbukti bahwa faktor model return ekspektasi ikut memberikan efek terhadap variabilitas abnormal return walaupun hanya sebesar 5,1%.
Penelitian ini juga menemukan bukti ada perbedaan reaksi di antara saham¬saham yang dikelompokkan menjadi 9 kelompok industri, dimana kelompok industri Properti dan Real Estate merupakan kelompok yang saham-sahamnya menunjukkan reaksi negatif terbesar. Pengujian efek pengelompoi
Replicating some of Brown dan Warner's simulation (1980.,1985), this research, which investigates the declining prices of stocks at .Jakarta Stock Exchange after the Marriott Bombing on August 5, 2003 at 12.00 p.m., shows the evidence that the market reacted significantly to the incident. By applying three expectation-return models, Le., Market-Adjusted Return Model (MAR), Market Model, and Mean¬Adjusted Model, with the assumption that abnormal return data are normally distributed and independent and identically distributed occur, the research also indicates the consistent market reaction in those three models.
However, if the assumptions are violated, Le., the abnormal return data are not normally distributed and the event is event-time clustering which means the violation toward, the market reaction is only shown by the stocks of which expected return are measured by Mean-Adjusted Model. Considering the expected-return model used, the difference of market reactions is partly caused by the choice of models as standard measurement to abnormal returns. The evidence slows that expected¬return model is the factor affecting the variability of abnormal returns, even only 5.1 %.
The research also shows that there were different reactions among stocks grouped into 9 industries. Stocks in Property and Real Estate sector showed the most negative reaction. In the examination on the effect of the industry grouping to the variability or market reaction of the stock's abnormal returns values, indicate that the factor of industry grouping leads to the difference of market rl3action among those industry sectors. The effect of this industry grouping to the variability of abnormal returns of these stocks is 18.5%.
Kata Kunci : event study, effect of expected return model, effect of industry grouping, event-time Clustering, violation towards normally distributed and independent and identically distributed (iid) assumption, non-parametric tests, studi peristiwa, efek model return
