The Reaction of Indonesia Capital Market Towards U.S. Federal Reserves Tapering Policy On Qualitative Easing 2013 (Event Study on Indonesia Composite Stock Index)
SUGIARTO, IGNATIUS DENNY KURNIAWAN (Adv.: Jogiyanto Hartono M., Prof. Dr., M.B.A., CMA.), Jogiyanto Hartono M., Prof. Dr., M.B.A., CMA.
Informasi pada dasarnya merupakan salah satu elemen penting yang tidak bisa dipisahkan dari kegiatan investor di pasar modal. Hal ini disebabkan karena informasi dapat mempengaruhi fluktuasi harga saham melalui reaksi para pelaku pasar. Di tahun 2013, pasar modal di dunia - termasuk pasar modal Indonesia - terguncang oleh kebijakan pengetatan Federal Reserve Amerika padaquantitative easing.Maka penelitian studi peristiwa ini bertujuan untuk menemukan bukti empiris ada atau tidaknya reaksi Indeks Harga Saham Gabungan (IHSG) terhadap pengumuman FOMC Press Conference pada 19 Juni dan 18 September 2013. Reaksi yang diamati yaitu variabel Abnormal Return pada perioda sebelum, saat, dan setelah pengumuman.
Sampel dalam penelitian ini diambil melalui metode purposive sampling, yaitu menggunakan data harga penutupan IHSG untuk 45 hari perioda estimasi dan 11 hari perioda peristiwa. Adapun alat analisis data yang digunakan adalah Uji One-Sample Kolmogorov-Smirnov untuk mengetahui normalitas data serta pengujian statistik mengunakan Uji-t.Hasil perhitungan Uji-t menunjukkan bahwa terdapat abnormal return bernilai negatif signifikan di sekitar tanggal pengumuman di bulan Juni dan terdapat abnormal return bernilai positif signifikan di sekitar tanggal pengumuman di bulan September.
Information is basically one of the important elements that can not be separated from the investors activities in the capital market. This is because the information could affect the stock price fluctuation through the reactions of market participants. In 2013, global capital market - including Indonesia capital market – were shocked by the tapering policy of United States’ Federal Reserve on quantitative easing.Thus, this even study research aims to find empirical evidence regarding the presence of Indonesia Composite Stock Index (IHSG) reaction towards the announcement event of FOMC Press Conference on June 19th and September 18th, 2013. The reactions observed are Abnormal Return variable in the period before, during, and after the announcement.
Sample in this research is taken by purposive sampling method, in which it uses the closing price data of IHSG for 45 days estimation period and 11 days event period. Data analysis tools used is One-Sample Kolmogorov-Smirnov Test to determine normality of data and also statistical testing by using t-test.The results of t-test calculation shows that there are negative, significant abnormal returns around the announcement date in June and there are positive, significant abnormal returns around the announcement date in September.
Kata Kunci : event study, quantitative easing, IHSG reaction,abnormal return.
