Market reaction toward political event in mining industry :: The Abepura Event

HARGIANTO, Hanz, Zaki Bardiwan, Prof.Dr.,M.Sc

2007 | Tesis | Magister Manajemen

Pasar dikatakan efisien apabila harga setelah informasi yang diterima oleh investor adalah sama dengan yang diterima oleh investor lain. Tujuan dari riset ini adalah untuk menjawab pertanyaan dengan menganalisa reaksi investor atas kerusuhan yang terjadi di Abepura dan mengidentifikasi apakah “event” tersebut berpengaruh secara signifikan terhadap harga saham di industri pertambangan melalui pengamatan terhadap return tidak normal dan aktivitas perdagangan saham. Peneliti menggunakan event study untuk menguji efisiensi pasar, yaitu event politik. Lingkup penelitian ini dibatasi hanya pada industi pertambangan guna mencegah confounding effect. Hipotesis: (H1) ada perbedaan antara return tidak normal sebelum dan sesudah event, dan (H2) ada perbedaan yang signifikan antara rata – rata volume perdagangan saham sebelum dan sesudah event. Untuk menguji hipotesis 1, peneliti harus menghitung return tidak normal dengan menggunakan mean adjusted model. To examine hypothesis 1, researcher had to calculate abnormal returns by using mean adjusted model. Untuk hipotesis 2, aktivitas perdagangan saham dihitung dengan menggunakan rumus TVA. Kemudian, keduanya diuji dengan menggunakan t-test. Hasil dari penelitian ini adalah: Kejadian di Abepura tidak mempengaruhi return tidak normal bagi investor dan tidak terdapat perbedaan aktivitas perdagangan saham antara sebelum dan sesudah kejadian.

Market is efficient if prices after information received by investors are equals with prices when other investors receive similar information. The aims of this research are to answer the research question by analyzing investors reaction to the riot occurred in Abepura and identify whether the event was significantly influence stock prices of mining industry by observing the abnormal returns and Trading Volume Activity (TVA). Researcher used event study to examine the market efficiency, that is political event. The scope of this research limited in mining industry due to reduce confounding effect. Hypothesis of this research are: (H1) there is a difference in the average abnormal returns before and after the Abepura Event, and (H2) there is a difference in the average TVA before and after the Abepura Event. To examine hypothesis 1, researcher had to calculate abnormal returns by using mean adjusted model. For hypothesis 2, average TVA was calculated by using TVA model. Both abnormal returns and TVA was tested by t-test. The results are: Abepure event do not have significant abnormal return for investor and there is no significant difference between TVA before the event and after the event.

Kata Kunci : Abnormal Return, Harga Saham, Efficient markets, event study, mean adjusted model, abnormal returns, and trading volume activity.