Reaksi Pasar atas Pengumuman Suku Bunga the Fed pada Sektor Perbankan yang Terdaftar di Indonesia
Abstract
This study aims to find out and test the market reaction around the announcement date indicated by abnormal returns around the date, to find out and test the market reaction around the announcement date indicated by trading volume activity around the date, and to find out and test the differences in the sample t-test. This research involved 46 banks listed on the Indonesia Stock Exchange. The method of determining the sample used in this study is by using a saturated sample where all members of the population are sampled. This study uses secondary data from the financial statements of banking companies listed on the IDX. Testing the data using the average difference test method. The results of the study show that there is no significant difference in abnormal returns before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia. Tests on trading volume activity show that there are significant differences in transaction volume before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia.
Keywords: Fed Fund Rate; Abnormal Return; Total Volume Activity
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References
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Suryanto, & Muhyi, H. A. (2017). Analisis Perbandingan Volume Perdagangan Saham Sebelum Dan Sesudah Stock Split Di Bursa Efek Indonesia. Jurnal Ilmu Politik Dan Komunikasi, VII(2), 217–226.
Vahini, Y. P., Wijana, N., & Putra, A. (2015). Event Study : Analisis Reaksi Investor Pada. 13(2), 387–404.
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Baret, S., Celner, A., O’Reilly, M., & Shilling, M. (2020). COVID-19 potential implications for the banking and capital markets sector. Deloitte Insights, 1–18. Retrieved from https://www2.deloitte.com/cn/en/pages/financial-services/articles/banking-and-capital-markets-impact-covid-19.html
Birru, J., & Figlewski, S. (2012). The Impact of the Federal Reserve’s Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1571938
Broome, S., & Morley, B. (2004). Stock prices as a leading indicator of the East Asian financial crisis. Journal of Asian Economics, 15(1), 189–197. https://doi.org/10.1016/j.asieco.2003.12.008
Bruno, B., Onali, E., & Schaeck, K. (2018). Market Reaction to Bank Liquidity Regulation. Journal of Financial and Quantitative Analysis, 53(2), 899–935. https://doi.org/10.1017/S0022109017001089
Cahyaningdyah, D., & Cahyasani, N. A. (2017). Analisis Reaksi Pasar Modal Atas Pengumuman Kenaikan BI Rate Tanggal 12 November 2013. Jurnal Maksipreneur: Manajemen, Koperasi, Dan Entrepreneurship, 6(2), 56. https://doi.org/10.30588/jmp.v6i2.302
Chowdhury, E. Ka., & Abedin, M. Z. (2020). COVID-19 Effects on the US Stock Index returns: An event Study Approach.
Djahotman Purba. (2017). Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan. Parameter, 2(1). https://doi.org/10.37751/parameter.v2i1.4
Ekapriyani, F. (2010). Analysis of The Effect of Bond Rating Announcement Return to Stock Company Stock Exchange In Indonesia. Jurnal Ilmiah Ekonomi Bisnis, 1–15.
Fajarwati, P. Y., & Nurasik. (2021). Capital Market Reaction Analysis Before and After Bank Indonesia’s Decision Regarding Interest Rates. Academia Open, 3, 1–14. https://doi.org/10.21070/acopen.3.2020.1149
Ghozali, I. (2018). Aplikasi Analisis Multivariate dengan Program SPSS. Semarang: BP Undip.
Hanaeda, H., & Serita, T. (2018). Effects of Nikkei 225 ETFs on Stock Markets: Impacts of Purchases by Bank of Japan. SSRN Electronic Journal, (15). https://doi.org/10.2139/ssrn.3019769
Hartawan, & Adiputra, I. M. P. (2015). Analisis Perubahan Volume Perdagangan Saham dan Abnormal Return Sebelum dan Sesudah Pemilu Legislatif 09 April 2014 (Event Study pada Sektor- Sektor Industri di Bursa Efek Indonesia).
Hartono, J. (2010). Metodologi Penelitian Bisnis. Yogyakarta: BPFE.
Hidayat, D., & Topowijono. (2018). Pengaruh Kinerja Keuangan Terhadap Harga Saham (Studi Pada Perusahaan Pertambangan Subsektor Pertambangan Minyak Dan Gas Bumi Yang Terdaftar Dibursa Efek Indonesia Periode 2013-2016). Jurnal Administrasi Bisnis.
Jogiyanto. (2017). Teori Portofolio Dan Analisis Investasi. Yogyakarta: BPFE.
Kim, S. J., & Nguyen, D. Q. T. (2008). The reaction of the Australian financial markets to the interest rate news from the Reserve Bank of Australia and the U.S. Fed. Research in International Business and Finance, 22(3), 378–395. https://doi.org/10.1016/j.ribaf.2008.02.001
Kumar, S. (2017). New evidence on stock market reaction to dividend announcements in India. Research in International Business and Finance, 39, 327–337. https://doi.org/10.1016/j.ribaf.2016.09.009
Liu, Sarkar, Kumar, & Jin, Z. (2016). An Analysis of Stock Market Impact from Supply Chain Disruptions in Japan. International Journal of Productivity and Performance Management, 67(1), 192–206.
Maria Ratna Marisa Ginting, Topowijono, S. S. (2016). ( Studi Pada Sub-Sektor Perbankan Di Bursa Efek Indonesia Periode 2011-2015 ). Jurnal Adminisrasi Bisnis, 35(2), 77–85. Retrieved from https://media.neliti.com/media/publications/87012-ID-pengaruh-tingkat-suku-bunga-nilai-tukar.pdf
Mehta, C., Jain, P. K., & Yadav, S. S. (2014). Market reaction to stock dividends: Evidence from India. Vikalpa, 39(4), 55–74. https://doi.org/10.1177/0256090920140405
Otieno, D. A., Ngugi, R. W., & Wawire, N. H. W. (2017). Effects of Interest Rate on Stock Market Returns in Kenya. International Journal of Economics and Finance, 9(8), 40. https://doi.org/10.5539/ijef.v9n8p40
Prasojo, H. S. U. (2013). Reaksi Pasar Saham Terhadap Pengumuman Krisis Finansial Global (Studi pada Perusahaan Pertambangan yang Masuk Dalam LQ45). Jurnal Ilmiah Mahasiswa Fakultas Ekonomi Dan Bisnis Universitas Brawijaya, 1(2), 1–17.
Prasojo, H. S. U., & Fakultas. (2016). REAKSI PASAR SAHAM TERHADAP PENGUMUMAN KRISIS FINANSIAL Global (Studi pada Perusahaan Pertambangan yang Masuk Dalam LQ45). 15(2), 1–23.
Putri, N. A., Anggraen, L., & Pasaribu, S. H. (2017). Analysis of Federal Fund Rate and Bi Rate Announcement to Abnormal Return in Indonesia Stock Market. International Journal of Business and Management Review, 5(9), 65–77. Retrieved from www.eajournals.org
Putu, N., Anjani, P., Wahyuni, A., & Tungga Atmadja, A. (2018). Analisis Reaksi Investor Terhadap Pengaruh Peristiwa Kenaikan Suku Bunga Bi Akibat Kenaikan Suku Bunga the Fed Pada Indeks Saham Lq45. Jurnal Ilmiah Mahasiswa Akuntansi) Universitas Pendidikan Ganesha, 9(3), 2614–1930. Retrieved from www.kontan.com
Reuling, J. (2016). The relationship between stock performance and their inclusion to or exclusion from the MSCI or S & P 500.
Rokhman, M. T. N., Affandy, D. P., & Kiptiyah, S. . (2009). Analisis Return, Abnormal Return, Aktivitas Volume Perdagangan dan Bid-ask Spread Saham di Seputar Pengumuman Stock Split (Studi pada Perusahaan Manufaktur di BEJ). Jurnal WACANA, 12(4), 662–677.
Rosita Dewi Indra Pratiwi, K., & Wirakusuma, I. G. M. (2018). Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan oleh Fed di AS. E-Jurnal Akuntansi, 25, 1966. https://doi.org/10.24843/eja.2018.v25.i03.p13
Samsul, M. (2015). Pasar Modal dan Manajemen Portofolio (2nd ed.). Jakarta: Erlangga.
Sugiyono. (2019). Statistika untuk Penelitian (10th ed.). Alfabeta.
Sulaiman, W. (2019). Statistik Non-Parametrik, Contoh Kasus dan Pemecahannya dengan SPSS. Yogyakarta: Andi.
Suryanto, & Muhyi, H. A. (2017). Analisis Perbandingan Volume Perdagangan Saham Sebelum Dan Sesudah Stock Split Di Bursa Efek Indonesia. Jurnal Ilmu Politik Dan Komunikasi, VII(2), 217–226.
Vahini, Y. P., Wijana, N., & Putra, A. (2015). Event Study : Analisis Reaksi Investor Pada. 13(2), 387–404.
Zaid, & Abou, A. (2013). International Stock Market response to the federal Reserve Policy actions : The case of Emerging MENA markets. Int. J. Financial Markets and Derivatives Eastren Illinois University.
Published
2023-03-26
How to Cite
REZIARIO NUGRAHA, Amadeus Vincent; ARY WIRAJAYA, I Gede.
Reaksi Pasar atas Pengumuman Suku Bunga the Fed pada Sektor Perbankan yang Terdaftar di Indonesia.
E-Jurnal Akuntansi, [S.l.], v. 33, n. 3, p. 701-714, mar. 2023.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/90296>. Date accessed: 25 apr. 2024.
doi: https://doi.org/10.24843/EJA.2023.v33.i03.p09.
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