Pengaruh pengumuman harga BBM industri (non subsidi) terhadap indeks harga saham di Bursa Efek Indonesia

BANGUN, Aleksander, Eduardus Tandelilin, Prof., Dr., MBA

2008 | Tesis | S2 Magister Manajemen

Studi bertujuan untuk menuji secara empiris reaksi investor terhadap pengumuman kenaikan atau penurunan harga BBM Industri, perlu dikaji apakah pengumuman harga tersebut memiliki nilai informasi atau tidak yang akan tercermin dari reaksi investor, baik itu dilihat dari pergerakan harga saham keseluruhan maupun sektoral. Penelitian menggunakan Indeks harga saham periode 2005-2007 dengan harapan mengurangi comfounding effect mengingat pada peride waktu tersebut situasi politik relatif stabil, data yang terkumpul dibagi menjadi dua kelompok yaitu kelompok Pengumuman kenaikan harga BBM Industri (Non Subsidi) dan kelompok Pengumuman turunnya harga BBM Industri (Non Subsidi). Dari hasil penelitian diketahui bahwa pasar hanya bereaksi pada saat pengumuman harga BBM Industri (Non Subsidi) mengalami kenaikan, tetapi pada saat harga turun pasar tidak bereaksi. Pada saat pengumuman kenaikan Harga BBM Industri/non subsidi, sektor yang terpengaruh adalah sektor Properti, Basic Industry, Finance, Manufacturing, Miscellaneous Industry, Trade & Service. Sedangkan sektor Agriculture, Consumer Goods, Infrastruktur, Mining tidak terpengaruh. Pada saat Pertamina mengumumkan penurunan Harga BBM Industri/non subsidi, sektor yang terpengaruh adalah sektor Infrastruktur, sedangkan sektor lainnya tidak terpengaruh.

The study was performed as an empirical test to investor reaction towards increasing or declining industrial fuel price pronouncement. The study involved inquiry whether the publication had significant information to value or not, thus will be reflected from investor response; either it was spotted from complete or partial stock price movement. This research utilize stock price index of 2005-2007 period in the hope of reducing compounding effect considering during those period the political situation reasonably stable. Gathered Data was cluster into two groups; pronouncement of Industrial Fuel (Non-Subsidized) price increase group and the pronouncement of Industrial Fuel (Non- Subsidized) price decrease rise (Non-Subsidized) group. Based on the research it is confirmed that the market only reacted at the time of the Industrial Fuel (Non-Subsidized) price increase pronouncement, but when the price descended the market did not react to the issue. At the time of Industrial Fuel (Non- Subsidized) price increase pronouncement, sectors which were affected were Property, Basic Industry, Finance, Manufacturing, Miscellaneous Industry, and Trade & Service. Whilst the Agriculture sector, Consumer Goods, Infrastructures, Mining were remain unaffected. Whereas when Pertamina announced the decline of Industrial Fuel (Non- Subsidized), sectors affected were Infrastructure, whilst other sectors remain unaffected.

Kata Kunci : Reaksi investor,Kenaikan/penurunan harga BBM,Indeks harga saham, reaction, increasing/decreasing industrial fuel price, stock price index