ASIMETRI DAMPAK-HARGA TRANSAKSI BLOK YANG DIINISIASI PEMBELI DAN PENJUAL DI PASAR REGULER BURSA EFEK INDONESIA

Ni Ketut Surasni, Dra.,M.Si., Prof. Dr. Eduardus Tandelilin, M.B.A.

2012 | Disertasi | S3 Manajemen

Penelitian ini bertujuan membuktikan asimetri dampak-harga antara transaksi blok diinisiasi pembeli dan penjual. Dampak-harga transaksi diinisiasi pembeli lebih besar daripada diinisiasi penjual. Arah reaksi transaksi diinisiasi pembeli kontinyu dan penjual reversal. Faktor kondisi pasar mempengaruhi asimetri dampak-harga. Ketika kondisi pasar naik, dampak-harga transaksi diinisiasi pembeli lebih besar daripada penjual. Sebaliknya ketika kondisi pasar turun, dampak-harga transaksi diinisiasi penjual lebih besar daripada pembeli. Investor asing berdampak lebih besar daripada domestik. Berdasarkan transaksi per transaksi, studi ini juga meneliti secepat apa harga melakukan penyesuaian terhadap transaksi blok. Dibutuhkan waktu setidaknya satu kali transaksi sebelum harga mencapai keseimbangan, baik untuk transaksi diinisiasi pembeli maupun penjual. Dengan menggunakan basis transaksi per transaksi diperoleh hasil yaitu reaksi transaksi diinisiasi pembeli adalah kontinyu dan penjual adalah reversal. Selain berfokus pada asimetri dampak-harga, penelitian ini juga mempertimbangkan beberapa variabel yang mempengaruhi dampak-harga. Dengan menggunakan metode regresi, selain kondisi pasar, tipe investor dan size perusahaan, variabel-variabel lain yang juga mempengaruhi dampak-harga adalah variabilitas return dan tingkat kesulitan transaksi.

This study aims to show the price-impact asymmetry between block transactions initiated by buyers and those initiated by sellers. Price impact of buyer-initiated transaction is greater than that of seller-initiated. The reaction direction of buyer-initiated transaction is continuous and that of seller-initiated is reversal. The market condition factor influences the price-impact asymmetry. When the market goes up, the price impact of buyerinitiated transaction is greater than that of seller-initiated. In contrast when market conditions go down, the price impact of seller-initiated transaction is greater than that of buyer-initiated transaction. Foreign investors have greater impact than domestic investors. Based on the transaction per transaction, this study also examined how quickly prices adjust to block transactions. It took at least one transaction before the price reaches an equilibrium, for both buyer and seller initiated transactions. By using the transactionper- transaction basis the results obtained are that the reaction of buyer-initiated transaction is continuous and that of seller-initiated transactions is reversal. In addition to focusing on the price impact asymmetry, this study also considers some of the variables that influence the price-impact. By using regression method, in addition to market conditions, investor type and company size, other variables that also influence the price impact are return variability and the difficulty level of the transaction.

Kata Kunci : transaksi blok, asimetri dampak-harga, diinisiasi pembeli, diinisiasi penjual.