PENGARUH PENGUMUMAN UNUSUAL MARKET ACTIVITY TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY

IMELDA RUSIANA, Marwan Asri, Prof., M.B.A., Ph.D.

2021 | Tesis | Magister Manajemen

Saham merupakan jenis investasi yang paling digemari di pasar modal. Dalam pasar modal yang efisien, harga saham dapat mencerminkan semua informasi yang relevan dan pasar akan bereaksi apabila terdapat informasi yang baru. Sumber dari informasi tersebut dapat diperoleh dari berbagai pihak baik internal maupun eksternal perusahaan. Salah satu sumber informasi eksternal yang resmi adalah Bursa Efek Indonesia (BEI). Dalam laman resminya, BEI memiliki sebuah pengumuman yang disebut dengan Unusual Market Activity (UMA) yang berfungsi sebagai pemberitahuan kepada investor, bahwa saham terkait memiliki pergerakan harga yang tidak wajar dan investor diminta untuk berhati-hati pada saham tersebut. Penelitian ini bertujuan mengkaji pengaruh dari informasi pengumuman UMA terhadap abnormal return dan trading volume activity. Dalam penelitian ini sampel yang digunakan sebanyak 125 peristiwa dengan 55 perusahaan yang terdaftar di BEI pada periode 2016-2020. Model analisis yang digunakan dalam penelitian adalah event study. Event period yang digunakan dalam penelitian ini adalah 5 hari sebelum dan sesudah pengumuman UMA (t-5 sampai dengan t+5). Metode analisis menggunakan paired sample ttest. Hasil penelitian ini menunjukkan bahwa pengumuman UMA berpengaruh secara signifikan terhadap variabel abnormal return dan trading volume activity. Dengan demikian, informasi yang terkandung dalam pengumuman UMA dinilai cukup signifikan dan layak diperhatikan oleh investor saham dalam menentukan setiap keputusan investasinya.

Stocks are the most favorable type of investment in the capital market. In an efficient market, stock prices can provide all relevant information for investors, and markets will react when there is new information. This information can be obtained from various sources, including the internal and external parties within a company. As for the external party, one of the most reliable and official sources of information is the Indonesia Stock Exchange (IDX). As observed on its official webpage, the IDX has an announcement known as the Unusual Market Activity (UMA), which will notify investors if their related stocks have unusual price movements, so they must be careful with those stocks. Therefore, this research aims to explore the impacts of UMA announcements on abnormal returns and trading volume activity. In this study, 125 events and 55 companies listed on the IDX in the period 20016-2020 were used as the samples. The analytical model used in the study was event study. The event periods were 5 days before and after the rights issue (t-5 to t + 5). The paired sample t-test and Wilcoxon signed rank test were used as the analysis method. The results of this research revealed that the announcement of UMA had a significant impact on abnormal return and trading volume activity. Hence, the information contained in the announcement of unusual market activity is considered essential and notable for investors when making any investment decision.

Kata Kunci : Unusual Market Activity, abnormal return, trading volume activity, harga saham. / Unusual Market Activity, abnormal return, trading volume activity, stock price.