Pengaruh Peristiwa Non Ekonomi Terhadap Reaksi Pasar Saham-Saham Indeks LQ-45 Di Bursa Efek Indonesia

Sang Ayu Putu PG, Drs. Irfan Nursasmito, M.Si.

2013 | Tesis | S2 Ilmu Akuntansi/Akuntansi Terapan

Investasi tidak lepas dari faktor makro non ekonomi. Faktor ini dapat mempengaruhi kinerja secara tidak langsung dan lebih sulit diprediksi Walaupun tidak terkait langsung dengan dinamika yang terjadi di pasar modal, namun pengaruh lingkungan non ekonomi tidak dapat dipisahkan dari aktivitas bursa saham yang memicu fluktuasi harga saham dan volume perdagangan. Tujuan dari penelitian ini adalah menguji reaksi pasar terhadap adanya peristiwa pengumuman kenaikan BBM 21 Juni 2013 dan pengumuman hasil pemilu presiden AS 7 November 2012. Reaksi tersebut akan dilihat melalui perubahan harga saham dan volume perdagangan. Penelitian ini menggunakan metode studi peristiwa (event study). Basis data yang digunakan adalah data sekunder return saham harian, volume perdagangan, IHSG, dan listed shared. Hasil dari penelitian ini adalah saham yang masuk dalam Indeks LQ-45 bereaksi terhadap pengumuman kenaikan BBM 21 Juni 2013. Hasil uji-t menunjukkan bahwa average abnormal return yang negatif dan signifikan, sementara untuk aktivitas volume perdagangan tidak ditemukan adanya reaksi. Reaksi positif dan signifikan aktivitas volume perdagangan terbukti pada peristiwa pengumuman hasil pemilu presiden AS 7 November 2012. Namun, untuk average abnormal return tidak terbukti pada peristiwa ini. Kesimpulan dari penelitian ini bahwa abnormal return dan aktivitas volume perdagangan dipengaruhi oleh adanya peristiwa politik domestik dan internasional.

Generally, the investment cannot be separated from the macro factors such as non economic events. The performance of a company could be affected by this factors indirectly. And mostly, this factors are difficult to be predicted. Moreover, the non economic events also do not directly relate with the activities in the capital market. However it can be one of the considerations for the capital market to get any profits in the future. Furthermore the non economic events can be a trigger to the stock value in the capital market and trading volume. This study investigated about the investor reactions to the effect of the non economic events such as the rising of gas and oil prices on June 21st 2013 and announcement of the presidential election in USA on November 7th 2012. The reactions can be observed from the stock fluctuation in the capital market and the rate of trading volume. Event study method was used to do this investigation. The reference data used in this study were from the daily secondary data of daily stock returns, trading volume, IHSG, and listed shares. The results showed that the stocks in LQ-45 indexes were reacted negatively to the announcement of the rising of gas and oil prices on June 21st 2013. T-test indicated the average abnormal return were negative and significant, whereas the trading volume activity did not reveal any reactions. On the other hand, the announcement of the presidential election in USA on November 7th 2012 resulted positive trading volume significantly. However, this event did not indicate the average abnormal return. Hence, in this study, the average abnormal return and trading volume of the stocks in LQ-45 indexes were obviously reacted to the political events both in domestic and international.

Kata Kunci : abnormal return, cumulative average abnormal return, pasar modal, studi peristiwa, abnormal return, capital market, cumulative average abnormal return, event study.