Performa Harga Saham Perusahaan yang Melakukan Director Dealings dan Substantial Shareholder Transactions: Studi Empiris di Bursa Efek Indonesia Periode 2018-2025

Rizchi Zanuar, Prof. Dr. Tandelilin Eduardus., M.B.A

2026 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Penelitian ini menguji pada perusahaan yang menjadi emiten yang tercatat di Bursa Efek Indonesia (BEI) terkait dampak dari aksi director dealings dan substantial shareholder transactions dalam rentang periode 2018 - 2025. Tujuannya adalah untuk mendeteksi keberadaan abnormal return di sekitar tanggal transaksi melalui analisis Average Abnormal Return (AAR) dan Cumulative Average Abnormal Return (CAAR). Pasar akan menggambarkan respon investor terhadap sinyal aksi transaksi melalui pengamatan pergerakan harga saham selama rentang periode sebelum terjadinya transaksi, saat terjadinya transaksi dan periode setelah terjadinya transaksi. Pendekatan event study dalam penelitian ini dirancang pada periode estimasi 375 hari dan periode jendela 21 hari untuk menangkap respon investor terhadap aktivitas director dealings dan substantial shareholder transactions. Pada pengolahan data pengujian normalitas dilakukan melalui metode Kolmogorov-Smirnov dan Shapiro-Wilk. Untuk menguji komparasi data pada periode sebelum dan sesudah peristiwa, analisis statistik delakukan dengan metode One Sample Wilcoxon Signed Rank serta Related Samples Wilcoxon Signed Rank Test. Pada penelitian ini menghasilkan secara umum terdapat kejadian abnormal return pada periode disekitar aksi director dealings dan substantial shareholder transactions. Hal ini menunjukkan bahwa pasar melakukan respon terhadap aksi transaksi, baik yang dilakukan oleh internal perusahaan yaitu dewan direksi dan komisaris serta pemilik yang khususnya pemilik yang kepemilikannya di atas 5%.

This study examines the impact of director dealings and substantial This study examines the impact of director dealings and substantial shareholder transactions on companies listed on the Indonesia Stock Exchange (IDX) for the 2018 - 2025 period. The objective is to detect the presence of abnormal returns through the analysis of Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) around the transaction period. The market reflects investor response to transaction signals through stock price movements during the pre-transaction, event, and post-transaction periods. An event study approach in this research is designed with a 375-day estimation period and a 21-day window period to capture investor responses to director dealings and substantial shareholder transactions. In data processing, normality testing was conducted using the Kolmogorov-Smirnov and Shapiro-Wilk methods to compare data between the pre- and post-event periods. Statistical analysis was performed using the One Sample Wilcoxon Signed Rank Test and the Related Samples Wilcoxon Signed Rank Test. The results of this study generally indicate the occurrence of abnormal returns around the periods of director dealings and substantial shareholder transactions. This demonstrates that the market responds to transaction actions, both those carried out by company insiders (the board of directors and commissioners) and owners, specifically those with an ownership stake above 5%.

Kata Kunci : director dealings, substantial shareholder transactions, event study, abnormal return, average abnormal return, cumulative average abnormal return