Analisa terhadap return dan risk saham Bursa Efek Jakarta sektor pariwisata, asuransi, dan media akibat dari tragedi bom di Indonesia

GULTOM, Has Fredrick Tigor H, Indra Wijaya Kusuma, Dr.,MBA

2005 | Tesis | Magister Manajemen

Terinspirasi oleh penelitian terhadap return dan risk saham pada peristiwa Black September (Kim dan Gu, 2004), studi ini menganalisis pengaruh empat tragedi bom (tragedi bom Bali I, Marriott, Kuningan, dan Bali II) di Indonesia terhadap return dan risk saham Bursa Efek Jakarta khususnya sektor pariwisata, asuransi, dan media informasi. Penelitian dilakukan dengan cara membandingkan return dan risk saham secara harian yaitu 60 pengamatan pada pre-event period dengan 5 pengamatan pada post-event period. Return saham harian merupakan proporsi dari perubahan harga saham harian terhadap harga saham pembukaan di hari tersebut sedangkan penelitian terhadap risk terbagi menjadi 2 yaitu penelitian terhadap total risk dan systematic risk (beta saham). Total risk diperoleh dengan cara mengkalkulasi standard deviation dari return saham harian sedangkan systematic risk diperoleh dengan meregresikan return saham harian terhadap return harian pasar. Dengan bantuan statistik paired t-test maka analisis menghasilkan bahwa tragedi bom menyebabkan penurunan return namun tidak menyebabkan perubahan risk saham. Tragedi Bom bali I dan bom Marriot menyebabkan penurunan return saham di ketiga sektor sedangkan tragedi bom Kuningan dan bom Bali II tidak mempengaruhi return saham.

Inspired by stocks return and risk research of Black September (Kim and Gu, 2004), this study examined the impact of four bomb explosion in Indonesia to stocks return and risk in Jakarta Stock Exchange, specifically tourism, insurance, and media sector. This research compared return and risk during 60 daily observations in pre-event period with 5 daily observations in post-event period. Stock return was defined as proportion of stock price change with the opening stock price then stock risk was examined in two categories that are total risk and systematic risk. Total risk was calculated as standard deviation of daily return and systematic risk was estimated by computing daily market return and stocks return with regression line formula. Paired t-test statistics resulted that because of bomb explosion, the stock return declined significantly but relevant risks didn’t. Specifically, the bomb tragedy in Bali (first explosion) and Marriott caused the declining stock return but in Kuningan and Bali (second explosion) didn’t.

Kata Kunci : Return dan Risk Saham,Bursa Efek Jakarta,return, pre-event period, post-event period, total risk, systematic risk, standard deviation, paired t-test