Analisis Pengaruh Kebijakan Cukai Tembakau Terhadap Nilai Saham Dan Ketahanan Finansial Perusahaan Rokok Yang Terdaftar Di BEI Dengan Altman Z-Score Sebagai Variabel Moderasi

Christian Antony, Elton Buyung Satrianto, S.E., M.B.A

2026 | Tugas Akhir | D4 PERBANKAN

Industri hasil tembakau merupakan salah satu penyumbang penerimaan cukai terbesar di Indonesia, sekaligus menjadi sasaran utama kebijakan kesehatan publik melalui kenaikan tarif cukai hasil tembakau yang berlangsung hampir setiap tahun. Kenaikan tarif tersebut berpotensi meningkatkan beban biaya produksi emiten rokok dan memengaruhi nilai saham serta ketahanan finansialnya. Penelitian ini menganalisis pengaruh tarif cukai rokok terhadap nilai saham (abnormal return) empat emiten subsektor rokok di Bursa Efek Indonesia (GGRM, HMSP, ITIC, WIIM) periode 2020–2024, dengan resistance finance (Altman Z-Score) sebagai variabel moderasi, serta perbedaan Cumulative Abnormal Return (CAR) antaremiten dan reaksi pasar agregat.

Penelitian menggunakan pendekatan event study kuantitatif dengan data sekunder panel: 100 observasi harian pada jendela peristiwa [?2,+2] hari di sekitar lima pengumuman Peraturan Menteri Keuangan tentang tarif cukai, serta 20 observasi CAR emiten-tahun, dengan teknik sampling jenuh. Data dianalisis menggunakan regresi OLS, one-way ANOVA, dan uji-t satu sampel.

Hasil menunjukkan tarif cukai tidak berpengaruh signifikan terhadap nilai saham (? = ?0,045; p = 0,361), ResistanceZScore tidak memoderasi pengaruh tersebut (p = 0,861), tidak ada perbedaan CAR signifikan antaremiten (F = 1,823; p = 0,183), dan CAR agregat tidak berbeda signifikan dari nol (t = ?0,888; p = 0,193). Keempat hipotesis ditolak pada taraf signifikansi 5%, meski arah koefisien tetap konsisten dengan teori. Hasil ini diinterpretasikan sebagai indikasi efek antisipasi pasar (price-in effect) sesuai Efficient Market Hypothesis semi-kuat, keterbatasan daya uji statistik, dan dominasi faktor makroekonomi pascapandemi. Penelitian menyarankan horizon waktu lebih panjang dan penambahan variabel makroekonomi pada penelitian selanjutnya.

The tobacco industry is one of Indonesia's largest excise tax contributors, while also being a primary target of public health policy through nearly annual tax rate increases, which can raise production costs for cigarette issuers and affect stock value and financial resilience. This study analyzes the effect of the tobacco excise tax rate on stock value (abnormal return) of four cigarette sub-sector issuers on the Indonesia Stock Exchange (GGRM, HMSP, ITIC, and WIIM) during 2020–2024, with financial resilience measured through the Altman Z-Score as a moderating variable, and examines differences in Cumulative Abnormal Return (CAR) between issuers and the aggregate market reaction.

The study uses a quantitative event study approach with secondary panel data: 100 daily observations within the [?2,+2] day window around five excise tax rate announcements, plus 20 issuer-year CAR observations, using census sampling. Data were analyzed via OLS regression, one-way ANOVA, and a one-sample t-test.

Results show the excise tax rate has no significant effect on stock value (? = ?0.045; p = 0.361), ResistanceZScore does not moderate this effect (p = 0.861), CAR does not differ significantly among issuers (F = 1.823; p = 0.183), and aggregate mean CAR does not differ from zero (t = ?0.888; p = 0.193). All four hypotheses were rejected at 5% significance, though coefficient directions stayed theoretically consistent, indicating a market price-in effect consistent with the semi-strong Efficient Market Hypothesis, limited statistical power, and dominant post-pandemic macroeconomic factors. Longer observation horizons and additional macroeconomic variables are recommended for future research.

Kata Kunci : cukai rokok, nilai saham, abnormal return, resistance finance, Altman Z-Score, event study