Reaksi Pasar atas Pengumuman Penurunan Bank Indonesia 7-Day Reverse Repo Rate
Abstract
The purpose of this study is to investigate the reaction of the Indonesian capital market to the announcement of a reduction in the Bank Indonesia 7-Day Reverse Repo Rate on the property and banking sectors. This study employs an event study with a seven-day observation period. The sampling technique used was the purposive sampling technique. The sample size for the banking sector was 32 companies, and the sample size for the property sector was 30 companies. Anomaly returns were used to gauge market reaction. The researchers used the paired samples t-test and the Wilcoxon signed rank test to analyze the data. The results for both sectors revealed that no market reaction was detected as a result of the announcement. This may be caused by investors thought that the announcement can’t affect the company's performance in short term and also considering the other sentiments.
Keywords: BI 7-Day Reverse Repo Rate; Event Study; Abnormal Return; Market Reaction.
Downloads
Download data is not yet available.
References
Amarasinghe, A. (2015). Dynamic Relationship between Interest Rate and Stock Price : Empirical Evidence from Colombo Stock Exchange. International Journal of Business and Social Science, 6(4), 92–97.
Anjani, N. P. P., & Wahyuni, M. A. (2019). Analisis Reaksi Investor Terhadap Pengaruh Peristiwa Kenaikan Suku Bunga Bi Akibat Kenaikan Suku Bunga the Fed Pada Indeks Saham Lq45. 1(June 2018), 85–95.
Dadrasmoghadam, A., & Akbari, M. R. S. (2015). Relationship between Financial Ratios in the Stock Prices of Agriculture-Related Companies Accepted On the Stock Exchange for Iran. Research Journal of Fisheries and Hydrobiology, 10(9), 586–591.
Dewi, S. R. (2017). Reaksi Pasar Atas Pengumuman Paket Kebijakan Ekonomi X Tentang Daftar Negatif Investasi. Jurnal Ilmiah Akuntansi Dan Bisnis, 12(2), 104–114.
Fama, E. F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.
Fitriyana, S. (2017). Pengaruh Faktor Internal Dan Bi Rate Terhadap Profitabilitas Bank Umum Syariah Periode 2012-2015. Jurnal Ilmu Manajemen (JIM), 5(3).
Gumanti, T. A. G., Savitri, E., Nisa, N. W., & Sri Utami, E. (2018). Event Study on the Crash of Airasia Plane: A Study on Travel and Leisure Companies Listed at Malaysian Stock Market. Jurnal Akuntansi Dan Keuangan, 20(1), 20. https://doi.org/10.9744/jak.20.1.20-26
Hajilee, M., & Nassel, O. M. Al. (2017). The Impact Of Interest Rate Volatility On Stock Market Development: Evidence From Emerging Markets. The Journal of Developing Areas, 51(2), 301–313. https://doi.org/doi:10.1353/jda.2017.0046.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. BFPE.
Indriyani, S. (2016). Analisis Pengaruh Inflasi Dan Suku Bunga Terhadap Pertumbuhan Ekonomi Di Indonesia Tahun 2005 – 2015. Jurnal Manajemen Bisnis Krisnadwipayana, 4(2). https://doi.org/10.35137/jmbk.v4i2.37
Karim, A. (2015). Analisis Pengaruh Faktor Internal Dan Eksternal Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2010-2012. Media Ekonomi Dan Manajemen, 30(1), 41–55.
Kurniasari, W., Wiratno, A., & Yusuf, M. (2018). Pengaruh Inflasi dan Suku Bunga Terhadap Return Saham Dengan Profitabilitas Sebagai Variabel Intervening di Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2015. Journal of Accounting Science, 2(1), 67. https://doi.org/10.21070/jas.v2i1.1216
Mahendra, I. K. R. (2019). Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7 Day Reverse Repo Rate Tanggal 15 Agustus 2018. E-Jurnal Akuntansi Universitas Udayana, 27, 2066–2099. https://doi.org/DOI: https://doi.org/10.24843/EJA.2019.v27.i03.p16
Maslikha, H., Puspitaningtyas, Z., & Prakoso Program Studi Administrasi Bisnis, A. (2017). Pengaruh Inflasi dan BI Rate terhadap IHSG. Vol. IV Edisi, 1, 62–67.
Okechukwu, I. A., Samuel Mbadike, N., Geoffrey, U., & Ozurumba, B. A. (2019). Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria. International Journal of Management Science and Business Administration, 5(6), 38–47. https://doi.org/10.18775/ijmsba.1849-5664-5419.2014.56.1005
Okoro, E., Ogoma, N., & Ume, K. (2018). Interest Rate and Investment in Money Market Instruments in a Developing Economy: A Case of Nigeria. Journal of Economics, Management and Trade, 20(2), 1–9. https://doi.org/10.9734/jemt/2017/38302
Oshaibat, S., & Majali, A. (2016). The Relationship Between Stock Returns and Each of Inflation, Interest Rates, Share Liquidity and Remittances Of Workers in the Amman Stock Exchange. Journal of Internet Banking and Commerce, 21(2).
Pratama, I., & Tjun Tjun, L. (2018). Pengaruh Suku Bunga Acuan dan Nilai Kurs Tengah Valuta Asing Terhadap Return Saham. Jurnal Akuntansi Maranatha, 9(2), 180–185. https://doi.org/10.28932/jam.v9i2.486
Pratiwi, K. R. D. I. (2018). Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan Oleh Fed di AS. 25, 1966–1993.
Ramsharan, N. (2019). Impacts of Interest Rate on Stock Market : Challenges for Investors. International Journal of Innovative Science, Engineering & Technology, 6(4), 228–236.
Rjoub, H., Civcir, I., & Resatoglu, N. G. (2017). Micro and Macroeconomic Determinants of Stock Prices: The Case Of Turkish Banking Sector. Romanian Journal of Economic Forecasting, 10(1), 150–167.
Sari, R. (2019). Pengaruh Suku Bunga Terhadap Indeks Harga Saham Gabungan (IHSG) Dimediasi Nilai Tukar pada Sektor Properti di Bursa Efek Indonesia (BEI). Economix, 7(1), 25–36.
Schrey, A. R., & Hafdísarson, A. R. (2017). Effect of Interest Rate Changes on Stocks : Is the Icelandic Market Efficient? 1–57.
Wibisono, B. S., & Octaviani, D. (2019). Analisis Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Properti Dan Keuangan Di Indonesia. Media Ekonomi, 25(2), 133. https://doi.org/10.25105/me.v25i2.5000
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi – JK ( Studi pada Saham LQ 45 Periode Agustus 2015 – Pebruari 2016 ). Media Ekonomi Dan Manajemen, 32(1). https://doi.org/10.24856/mem.v32i1.452
Wuhan, Suyuan, L., & Khurshid, A. (2015). The Effect of Interest Rate on Investment: Empirical Evidence of Jiangsu Province, China. Journal of International Studies, 8(1), 81–90. https://doi.org/10.14254/2071-8330.2015/8-1/7
Yu, L., & Zhang, A. (2016). The Market Reaction to Interest Rate Change: The Effect of Financial Leverage.
Anjani, N. P. P., & Wahyuni, M. A. (2019). Analisis Reaksi Investor Terhadap Pengaruh Peristiwa Kenaikan Suku Bunga Bi Akibat Kenaikan Suku Bunga the Fed Pada Indeks Saham Lq45. 1(June 2018), 85–95.
Dadrasmoghadam, A., & Akbari, M. R. S. (2015). Relationship between Financial Ratios in the Stock Prices of Agriculture-Related Companies Accepted On the Stock Exchange for Iran. Research Journal of Fisheries and Hydrobiology, 10(9), 586–591.
Dewi, S. R. (2017). Reaksi Pasar Atas Pengumuman Paket Kebijakan Ekonomi X Tentang Daftar Negatif Investasi. Jurnal Ilmiah Akuntansi Dan Bisnis, 12(2), 104–114.
Fama, E. F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.
Fitriyana, S. (2017). Pengaruh Faktor Internal Dan Bi Rate Terhadap Profitabilitas Bank Umum Syariah Periode 2012-2015. Jurnal Ilmu Manajemen (JIM), 5(3).
Gumanti, T. A. G., Savitri, E., Nisa, N. W., & Sri Utami, E. (2018). Event Study on the Crash of Airasia Plane: A Study on Travel and Leisure Companies Listed at Malaysian Stock Market. Jurnal Akuntansi Dan Keuangan, 20(1), 20. https://doi.org/10.9744/jak.20.1.20-26
Hajilee, M., & Nassel, O. M. Al. (2017). The Impact Of Interest Rate Volatility On Stock Market Development: Evidence From Emerging Markets. The Journal of Developing Areas, 51(2), 301–313. https://doi.org/doi:10.1353/jda.2017.0046.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. BFPE.
Indriyani, S. (2016). Analisis Pengaruh Inflasi Dan Suku Bunga Terhadap Pertumbuhan Ekonomi Di Indonesia Tahun 2005 – 2015. Jurnal Manajemen Bisnis Krisnadwipayana, 4(2). https://doi.org/10.35137/jmbk.v4i2.37
Karim, A. (2015). Analisis Pengaruh Faktor Internal Dan Eksternal Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2010-2012. Media Ekonomi Dan Manajemen, 30(1), 41–55.
Kurniasari, W., Wiratno, A., & Yusuf, M. (2018). Pengaruh Inflasi dan Suku Bunga Terhadap Return Saham Dengan Profitabilitas Sebagai Variabel Intervening di Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2015. Journal of Accounting Science, 2(1), 67. https://doi.org/10.21070/jas.v2i1.1216
Mahendra, I. K. R. (2019). Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7 Day Reverse Repo Rate Tanggal 15 Agustus 2018. E-Jurnal Akuntansi Universitas Udayana, 27, 2066–2099. https://doi.org/DOI: https://doi.org/10.24843/EJA.2019.v27.i03.p16
Maslikha, H., Puspitaningtyas, Z., & Prakoso Program Studi Administrasi Bisnis, A. (2017). Pengaruh Inflasi dan BI Rate terhadap IHSG. Vol. IV Edisi, 1, 62–67.
Okechukwu, I. A., Samuel Mbadike, N., Geoffrey, U., & Ozurumba, B. A. (2019). Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria. International Journal of Management Science and Business Administration, 5(6), 38–47. https://doi.org/10.18775/ijmsba.1849-5664-5419.2014.56.1005
Okoro, E., Ogoma, N., & Ume, K. (2018). Interest Rate and Investment in Money Market Instruments in a Developing Economy: A Case of Nigeria. Journal of Economics, Management and Trade, 20(2), 1–9. https://doi.org/10.9734/jemt/2017/38302
Oshaibat, S., & Majali, A. (2016). The Relationship Between Stock Returns and Each of Inflation, Interest Rates, Share Liquidity and Remittances Of Workers in the Amman Stock Exchange. Journal of Internet Banking and Commerce, 21(2).
Pratama, I., & Tjun Tjun, L. (2018). Pengaruh Suku Bunga Acuan dan Nilai Kurs Tengah Valuta Asing Terhadap Return Saham. Jurnal Akuntansi Maranatha, 9(2), 180–185. https://doi.org/10.28932/jam.v9i2.486
Pratiwi, K. R. D. I. (2018). Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan Oleh Fed di AS. 25, 1966–1993.
Ramsharan, N. (2019). Impacts of Interest Rate on Stock Market : Challenges for Investors. International Journal of Innovative Science, Engineering & Technology, 6(4), 228–236.
Rjoub, H., Civcir, I., & Resatoglu, N. G. (2017). Micro and Macroeconomic Determinants of Stock Prices: The Case Of Turkish Banking Sector. Romanian Journal of Economic Forecasting, 10(1), 150–167.
Sari, R. (2019). Pengaruh Suku Bunga Terhadap Indeks Harga Saham Gabungan (IHSG) Dimediasi Nilai Tukar pada Sektor Properti di Bursa Efek Indonesia (BEI). Economix, 7(1), 25–36.
Schrey, A. R., & Hafdísarson, A. R. (2017). Effect of Interest Rate Changes on Stocks : Is the Icelandic Market Efficient? 1–57.
Wibisono, B. S., & Octaviani, D. (2019). Analisis Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Properti Dan Keuangan Di Indonesia. Media Ekonomi, 25(2), 133. https://doi.org/10.25105/me.v25i2.5000
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi – JK ( Studi pada Saham LQ 45 Periode Agustus 2015 – Pebruari 2016 ). Media Ekonomi Dan Manajemen, 32(1). https://doi.org/10.24856/mem.v32i1.452
Wuhan, Suyuan, L., & Khurshid, A. (2015). The Effect of Interest Rate on Investment: Empirical Evidence of Jiangsu Province, China. Journal of International Studies, 8(1), 81–90. https://doi.org/10.14254/2071-8330.2015/8-1/7
Yu, L., & Zhang, A. (2016). The Market Reaction to Interest Rate Change: The Effect of Financial Leverage.
Published
2021-08-26
How to Cite
SAYUDHA, Anak Agung Gede Rama; RASMINI, Ni Ketut.
Reaksi Pasar atas Pengumuman Penurunan Bank Indonesia 7-Day Reverse Repo Rate.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 8, p. 1907-1917, aug. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/66853>. Date accessed: 31 dec. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i08.p03.
Issue
Section
Artikel
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
