REAKSI PASAR MODAL TERHADAP RESHUFFLE KABINET KERJA JILID II JOKO WIDODO-JUSUF KALLA

M., Syaiful Muzab and Sayekti, Endah Retno Meilani, SE, M.Si, AK, CA (2017) REAKSI PASAR MODAL TERHADAP RESHUFFLE KABINET KERJA JILID II JOKO WIDODO-JUSUF KALLA. skripsi thesis, IAIN Surakarta.

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Abstract

ABSTRACT This research is an event study that aims to discover whether there is any empirical evidence of the Indonesian capital market reaction to one of the political events in the country, namely Reshuffled Kabinet Kerja Volume II Joko Widodo-Jusuf Kalla. Capital market reaction measured by the presence of Abnormal Return, Security Return Variability and Trading Volume Activity. Population in this research is the stock included in the Indonesia Sharia Stock Index (ISSI) on the Indonesia Stock Exchange during the period from 22 July – 1 August 2016. Sample in this research totalled 175 companies. The sampling technique used was purposive sampling. Statistical tool used to test the hypothesis is Wilcoxon Signed Rank Test. The results of Wilcoxon Signed Rank Test shows that there was no significant difference between the average abnormal return in the period before and after the event. While the results of this study also shows that there is a significant difference average between Security Return Variability and Trading Volume Activity in the period before and after the event Reshuffled Kabinet Kerja Volume II Joko Widodo-Jusuf Kalla. The results of this study indicate that the prices of securities in the capital markets work efficiently where the market receiving the relevant information in accordance with the Efficient Capital Market Theory. Keywords: Capital Markets Reaction, Abnormal Return, Security Return Variability, Trading Volume Activity. ABSTRAK Penelitian ini merupakan studi peristiwa yang bertujuan menemukan bukti empiris ada atau tidaknya reaksi pasar modal terhadap salah satu peristiwa politik dalam negeri yaitu peristiwa Reshuffle Kabinet Kerja Jilid II Joko Widodo-Jusuf Kalla. Reaksi pasar modal diukur dengan adanya Abnormal Return, Security Return Variability dan Trading Volume Activity. Populasi penelitian ini adalah saham-saham yang termasuk dalam Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia selama periode 22 Juli – 1 Agustus 2016. Sampel dalam penelitian ini berjumlah 175 perusahaan. Teknik sampling yang digunakan adalah purposive sampling. Uji statistik yang digunakan untuk menguji hipotesis adalah uji beda Wilcoxon Signed Rank Test. Hasil uji Wilcoxon Signed Rank Test menunjukkan bahwa tidak terdapat perbedaan signifikan antara rata-rata abnormal return pada periode sebelum dan setelah peristiwa. Sedangkan hasil penelitian ini juga menunjukkan bahwa terdapat perbedaan rata-rata signifikan antara Security Return Variability dan Trading Volume Activity pada periode sebelum dan setelah peristiwa Reshuffle Kabinet Kerja Jilid II Joko Widodo-Jusuf Kalla. Hasil penelitian ini mengindikasikan bahwa harga sekuritas dalam pasar modal bekerja dengan efisien dimana pasar menerima informasi yang relevan sesuai dengan teori pasar modal efisien. Kata kunci : Reaksi Pasar Modal, Abnormal Return, Security Return Variability, Trading Volume Activity.

Item Type: Thesis (skripsi)
Subjects: 300 Ilmu Sosial > 330 Economics
300 Ilmu Sosial > 330 Economics > 332 Financial economics
Divisions: Fakultas Ekonomi dan Bisnis Islam > Akuntansi Syariah
Depositing User: Maha siswa
Date Deposited: 31 Mar 2017 03:42
Last Modified: 31 Mar 2017 03:42
URI: http://eprints.iain-surakarta.ac.id/id/eprint/294

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