Reaksi Pelaku Pasar Modal Indonesia Terhadap Pemberitaan Revisi Target Pertumbuhan Kredit

PUTU GEDE INDRA SETY, Prof. Dr. Zaki Baridwan, M.Sc., Ak.

2016 | Tesis | S2 Manajemen

Pada tanggal 18 Juli 2013 seperti yang diberitakan dalam beberapa media online nasional, Direktur keuangan Bank Danamon merevisi pertumbuhan target kredit menjadi 17% dari target awal 18%. Pemberitaan tersebut berpotensi direaksi oleh pelaku pasar modal karena umumnya setengah laba bank bersumber dari aktiva produktif utamanya penyaluran kredit. Penelitian ini bertujuan menganalisis apakah peristiwa revisi target penyaluran kredit tersebut memiliki kandungan informasi sehingga mampu mengubah ekspektasi pelaku pasar modal indonesia terhadap saham Bank Danamon. Perubahan tersebut diukur dengan melihat indikator abnormal trading volume activity dan abnormal returnyang ditimbulkan. Metode penelitian menggunakan pendekatan event study dengan menggunakan periode estimasi sepanjang 228 hari (T - 8 s.d. T - 236) dan periode peristiwa sepanjang 15 hari (T - 7 s.d. T + 7) dengan T pada tanggal 18 Juli 2013.Abnormal return dihitung menggunakan Modelreturnekspektasian market adjusted model dengan Indeks Sektoral Keuangan. Abnormal trading volume dihitung menggunakan deviasi atau selisih darivolume perdagangan yang normal. Hasil penelitian menunjukkan kandungan informasi dari peristiwa revisi target pertumbuhan kredit Bank Danamon mengakibatkan perubahan signifikan dari trading volume activity dan tidak mengakibatkan perubahan abnormal return secara signifikan. Hal tersebut diduga peneliti dikarenakan pada periode waktu yang sama, perusahaan lain dalam bidang industri perbankan sebagian besar melakukan revisi target pertumbuhan kreditnya sehingga mengakibatkan kandungan informasi dari peristiwa revisi target pertumbuhan kredit Bank Danamon mampu merubah ekspektasi individual investor melalui perubahan porsi portofolio dari masing-masing investor-investor individual yang mencerminkan adanya perubahan trading volume. Adapun hal tersebut tidak cukup kuat untuk merubah ekspektasi sebagian besar investor individual (ekspektasi pasar) menjadi konsensus nilai saham Bank Danamon baru yang signifikan

On the 18th of July 2013 as reported on a number of national online media, the Director of Finance of Danamon Bank revised loan growth target into 17% from the initial target of 18%. The reporting would potentially raise reactions of the capital market participants because in general, half of the bank's profit resulted from the earning assets, particularly from the credit channeling. This research was intended to analyze whether the revision of the credit channeling contained information which could change the expectation of Indonesian capital market participants on Danamon Bank's share. The change was measured by reviewing the indicator of abnormal trading volume activity and abnormal return resulted. This research method used event study approach by using estimation period of 228 days (T - 8 up to T - 236) and event period of 15 days (T - 7 up to T + 7) with T was on the 18th of July 2013. The abnormal return was calculated by using the return model of the expected market adjusted model with Financial Sectoral Index. The abnormal trading volume was calculated using the deviation or difference of normal trading volume. The results of the research showed that the information contents of the loan growth target revision of Danamon Bank caused a significant change on the trading volume activity and did not cause any significant change on the abnormal return. The researcher assumed that this happened because in the same period most of other companies in the banking industry revised their loan growth target that caused the information contents of the loan growth target revision of Danamon Bank able to change the individual investor's expectation through the change of portfolio portion of each individual investor, reflecting the occurrence of trading volume change. This was not strong enough to change the expectation of the majority of individual investors (market expectation) into a new significant consensus of share value of Danamon Bank

Kata Kunci : abnormal trading volume activity, abnormal return, market- adjusted model, event study, information contents, loan growth target revision, abnormal trading volume activity,abnormal return, market adjusted model, event study, kandungan informasi, revisi pe