Analisa respon market terhadap industri manufaktur di Bursa Efek Jakarta (BEJ)

MAHARANI, Reni, Prof.Dr. Mas'ud Machfoedz, MBA

2004 | Tesis | Magister Manajemen

Publikasi laporan keuangan wajib dilakukan oleh perusahaan-perusahaan yang listed di pasar bursa. Investor sangat berkepentingan dengan laporan keuangan tersebut untuk mengetahui kinerja dan prospek perusahaan yang bersangkutan. Hasil analisa terhadap laporan keuangan tersebut merupakan bahan pertimbangan untuk pengambilan keputusan investasi. Tujuan penelitian ini adalah untuk mengetahui respon market terhadap diumumkannya laporan keuangan perusahaan. Sebanyak 78 perusahaan manufaktur yang listed di Bursa Efek Jakarta (BEJ) terpilih sebagai sampel penelitian untuk periode 2000-2002 dengan menggunakan metode purposive sampling. Teknik analisa multiple regression digunakan untuk menganalisa pengaruh quick ratio, debt to equity ratio (DER), return on asset (ROE), working capital turnover, dan earning per share (EPS) terhadap rata-rata return saham (sebagai proksi respon market). Hasil regresi menunjukkan bahwa quick ratio, debt to equity ratio (DER), return on asset (ROE), working capital turnover, dan earning per share (EPS) secara simultan mempengaruhi rata-rata return saham. Tetapi secara partial hanya return on asset (ROE) dan working capital turnover berpengaruh signifikan. Apabila rasio-rasio tersebut diperoleh dari laporan keuangan perusahaan lain maka hanya satu variabel yang berpengaruh signifikan terhadap rata-rata return saham yaitu debt to equity ratio.

Every company listed in stock exchange has to publish a financial statement to public. Investor concerned to get information about the company performance and prospect. The result of financial statement analysis is a base consideration to make investment decision. The purpose of this research is to examine the market reaction on financial statement. The samples are 78 manufacture companies listed in Jakarta Stock Exchange (JSX) since 2000 until 2002. The sampling uses the purposive sampling method. Multiple regressions are used to analyze the effect of quick ratio, debt to equity ratio (DER), return on asset (ROA), working capital turnover, and earning per share (EPS) on the average stock return. The result of this study indicates that quick ratio, debt to equity ratio (DER), and earning per share (EPS) has insignificant effect on the average stock return. While return on asset (ROA) and working capital turnover significantly affects on the average stock return. However, if those financial ratios come from other company’ financial statement, the result is debt to equity ratio (DER) have significant effect on the average stock return.

Kata Kunci : Laporan Keuangan,Investasi,Respon Pasar, publish a financial statement, quick ratio, debt to equity ratio (DER), return on asset (ROA), working capital turnover, and earning per share (EPS), market respond, stock return, multiple regression.