REAKSI PASAR MODAL INDONESIA TERHADAP KENAIKAN HARGA BAHAN BAKAR MINYAK (BBM) 22 JUNI 2013 (Studi Peristiwa pada Perusahaan yang Terdaftar di Indeks LQ-45, Perusahaan Sektor Manufaktur dan Perusahaan Sektor Pertambangan)

• Main Authors: , ALI SULAS HIDAYAT, , Prof. Dr. Marwan Asri., MBA., Ph.D.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2013
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/125711/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65885
• Institution: Universitas Gadjah Mada

This research was event study with the objectives to investigate whether fuel price increase policy announced by Indonesian government contain any informational value to Indonesian Stock Exchange (IDX). The reaction was determined by the occurrence of average abnormal return which is different to zero during event period. This research was using secondary data from IDX, with the samples of 37 Index LQ-45 companies list, 98 manufacturing companies, and 30 mining companies. The samples selection method is purposive sampling. Data used in this research was daily price of shares on closing and market index (IHSG and LQ-45). Observation period was divided in to two periods, estimation period 100 days and event period 21 days (10 days before, 1 day event date, 10 days after). Expected return was estimated using Market Model. The result of this research indicate that abnormal return received by investor is significant in the days surrounding the event date for LQ-45, manufacturing sector, and mining sector. This result mean that the fuel price increase announcement possess important information to the stock market which lead changes in the stock price of Index LQ-45, manufacturing sector, and mining sector. The result of paired sample t-test show that average abnormal return before and after the event not significantly different for Index LQ-45, manufacturing sector, and mining sector.