Analisis Reaksi Pasar Terhadap Pengumuman Pembelian Kembali Saham (Studi pada Perusahaan yang Terdaftar di BEI Periode 2009-2013)

NIKEN ARYA AGUSTINA, Prof. Marwan Asri, M.B.A., Ph.D.

2014 | Skripsi | S1 MANAJEMEN

Penelitian ini bertujuan untuk mengetahui reaksi pasar terhadap pengumuman pembelian kembali saham pada perusahaan yang terdaftar di Bursa Efek Indonesia berdasarkan peraturan BAPEPAM-LK Nomor XI.B.2 dan XI.B.3 tata cara pembelian saham kembali. Penelitian ini menggunakan rata-rata abnormal return harian dan rata-rata trading volume activity harian untuk menguji pengumuman informasi pembelian saham kembali benar-benar berpengaruh signifikan terhadap pasar. Penelitian ini juga menggunakan rata-rata abnormal return kumulatif dan trading volume activity kumulatif untuk menguji perbedaan abnormal return dan trading volume activity sebelum dan saat transaksi pembelian saham kembali. Populasi penelitian adalah seluruh perusahaan yang melakukan pembelian saham kembali tahun 2009-2013. Sampel penelitian sebanyak 30 pengumuman pembelian kembali saham dengan kriteria perusahaan melakukan pengumuman pembelian kembali saham , terdaftar dalam Bursa Efek Indonesia, tidak mengeluarkan pengumuman corporate action pada periode penelitian, dan aktif dalam perdagangan saham pada periode estimasi dan periode jendela. Penelitian ini menggunakan metode event study dengan 10 hari periode jendela, yaitu 5 hari sebelum pengumuman dan 5 hari setelah pengumuman pembelian kembali saham . Data dianalisis menggunakan T-test dan Paired Sample Test/Wilcoxon-Signed Rank Test. Penghitungan expected return menggunakan market model dengan menggunakan regresi sederhana OLS (Ordinary Least Squares). Hasil penelitian menujukan bahwa pengumuman pembelian kembali saham memiliki pengaruh signifikan dan terdapat perbedaan rata-rata abnormal return kumulatif sebelum dan setelah pengumuman pembelian kembali saham dilaksanakan. Pengumuman informasi pembelian kembali saham juga memberikan pengaruh yang signifikan terhadap rata-rata trading volume activity kumulatif sebelum dan sesudah pengumuman. Akan tetapi, tidak terdapat kenaikan rata-rata trading volume activity di sekitar peristiwa transaksi pengumuman pembelian kembali saham.

This study aims to determine the effects of the stock repurchase announcement to the market response at the companies listed in the Indonesian Stock Exchange under the regulation of Bapepam-LK No. XI.B.3 XI.B.2 on the stock repurchase procedure. This study uses the average daily abnormal return and the average daily trading volume activity to confirm that the information from the stock repurchase announcement has significant effects to the market. This study also uses the average cumulative abnormal return and trading volume activity to investigate differences in cumulative abnormal returns and trading volume activity before and during the stock repurchase announcement. The study population was all the companies which performed stock repurchase actions during 2009-2013. The research samples are 30 announcements. The criteria of companies in this study; listed in the Indonesian Stock Exchange, no corporate action announcements issued during the period of study, and active in the share trading within the estimation period and windows period. This study uses event study method with a 10-day window period, consiting 5 days before and 5 days after the announcement of the stock repurchase announcement. Data were analyzed using T-test and Paired Sample Test/Wilcoxon-Signed Rank Test. Calculation of expected return uses the market model utilizing a simple OLS regression (Ordinary Least Squares). The results show that stock repurchase announcements have significant effects and there are differences in the average cumulative abnormal return before and after the announcement of the stock repurchase. Stock repurchase announcement also have significant influence in the average cumulative trading volume activity before and after the announcement. But, there is no increase in the average trading volume activity during the event announcement of the stock repurchase transaction.

Kata Kunci : stock repurchase, abnormal return, trading volume activity