ABSTRAKDalam sistem perekonomian modern peranan pasar modal sangat penting sebagai tempat bertemunya emiten dan investor. Informasi internal dan informasi eksternal sangat diperlukan oleh investor sebagai dasar pertimbangan dalam pengambilan keputusan investasi. Dengan melihat ada atau tidaknya average abnormal return dan average trading volume activity disekitar periode peristiwa, penelitian ini bertujuan untuk meneliti reaksi pasar atas peristiwa kenaikan The Federal Funds Rate pada tanggal 26 September 2018. LQ45 adalah indeks saham yang digunakan sebagai sampel dalam penelitian ini dan metode pemilihan sampel yang digunakan adalah teknik purposive sampling. Penelitian ini menggunakan uji one sample t-test, paired sample t-test, serta uji wilcoxon signed rank test sebagai teknik analisis data. Ditemukannya signifikansi average trading volume activity disekitar periode jendela peristiwa menunjukkan bahwa pasar bereaksi atas peristiwa kenaikan FFR tanggal 26 September 2018. Namun hasil penelitian menunjukkan tidak adanya signifikansi average abnormal return disekitar periode peristiwa. ABSTRACTIn the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event period.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.