Pengaruh Pengumuman Perubahan Harga BBM terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan-Peruasahaan yang Tergabung dalam Kelompok LQ 45 Dibursa Efek Indonesia periode 2015-2016

Abstract

The increase in the price of Fuel (BBM) can zoom in on the burden of the community and the business world. Vice versa, the drop in the price of fuel not only lighten the load of the community but also for the business world. Announcements containing information (information content), expected the market will react at the time the announcement was welcomed by the market. Market reaction is indicated by the existence of changes in prices of the securities in question. This research was conducted to find out whether there are abnormal return there is a difference, the difference in stock trading volume activity, abnormal return of shares and trading volume of activity before and after the events of the increase in the price of fuel oil. This research is quantitative research by doing event study. The population in this research is the stocks category LQ-45 period of March 2015 to April 2016 with a sample of companies that have listed on the Group Index LQ 45 period November 2014 and March 2015 and don't do Corporate Action. The results of hypothesis testing of research it can be concluded that there is a significant difference between the Abnormal Return (AR) and Trading Volume Activity (TVA) and events before and after the events of rising fuel prices, then there is no a significant difference between the Abnormal Return (AR) and between Trading Volume Activity (TVA) and event announcements of events before and after the drop in the price of fuel.

Dampak Pengumuman Penurunan Harga BBM Terhadap Abnormal Return Pada Perusahaan Yang Tergabung Dalam Idx30

“…(Prasetyo et al, 2020) menemukan bahwa peristiwa pengumuman kewajiban pasar domestik atas harga batubara memiliki kandungan informasi yang menyebabkan pasar modal Indonesia bereaksi terhadap peristiwa tersebut. (Asmas, 2018)menemukan perbedaan yang positif signifikan antara Abnormal return (AR) dan Trading Volume Activity (TVA) dengan pengumuman peristiwa sebelum dan sesudah penurunan harga bahan bakar. Febriyanti& Rahyuda (2016) menemukan bahwa pasar bereaksi positif dengan adanya perbedaan Abnormal return dan trading volume activity sebelum dan sesudah peristiwa pengumuman kenaikan harga BBM sedangkan pada pengumuman penurunan harga BBM pasar bereaksi negative yang menujukkan bahwa tidak terdapat perbedaan Abnormal return dan trading volume activity sebelum dan sesudah pengumuman.…”

Reaksi Pasar Modal Terhadap Pengumuman Resesi Ekonomi Indonesia Tahun 2020

“…Dalam penelitian yang dilakukan oleh Denny Asmas (2018) Hadi N dan Arum M (2020), serta Syamsuddin (2021). Akan tetapi, focus event pada penelitian tersebut hanya mengenai informasi dampak pasar terkait adanya penetapan Gubernur DKI Jakarta, adanya ASIAN Games, adanya pergantian dewan komisaris dan dewan direksi, adanya peristiwa Aksi Bela Islam (aksi 212), serta adanya peristiwa merger suatu perusahaan.…”

The Analysis of Abnormal Stock Returns in LQ-45 Index during Covid-19 Pandemic

“…Some information published in the capital market affects abnormal returns, including the reaction of the capital market to rising fuel prices. The results of the research shows that there is a significant difference between abnormal returns on events before and after the fuel price hike [9]. Based on these gaps and conditions, researchers are interested in conducting research related to abnormal stock-returns during the Covid-19 pandemic on LQ-45 index which aimed to know the impact of Covid-19 pandemic event on stock prices.…”