REAKSI PASAR MODAL AKIBAT PENGUMUMAN KENAIKAN BANK INDONESIA 7-DAY REVERSE REPO RATE TANGGAL 17 NOVEMBER 2022
Abstract
Bank Indonesia melakukan penguatan kerangka operasi moneter dengan mengimplementasikan suku bunga kebijakan baru yaitu BI-7 Day Reverse Repo Rate (BI7DRR). Pada Rapat Dewan Gubernur (RDG) Bank Indonesia tanggal 16-17 November 2022, memutuskan untuk menaikkan BI7DRR sebesar 50 bps (basis point) menjadi 5,25 persen sebagai langkah dalam mengendalikan laju inflasi dan memperkuat kebijakan stabilisasi terhadap nilai tukar Rupiah. Penelitian ini merupakan studi peristiwa yang bertujuan untuk menguji secara empiris kandungan informasi terhadap pengumuman kenaikan Bank Indonesia 7-Day Reverse Repo Rate tanggal 17 November 2022. Populasi dalam penelitian ini adalah seluruh perusahaan yang termasuk dalam daftar perusahaan di Indeks Kompas 100. Penentuan ukuran sampel penelitian menggunakan teknik slovin sehingga didapatkan 80 perusahaan sampel dan pengambilan sampel menggunakan metode simple random sampling. Pengujian dilakukan terhadap abnormal return dengan menggunakan alat analisis one-sample t-test terhadap 80 perusahaan sampel Indeks Kompas 100. Hasil penelitian terhadap pengumuman kenaikan Bank Indonesia 7-Day Reverse Repo Rate tanggal 17 November 2022 menunjukkan abnormal return yang signifikan hanya terdapat pada t-3 dan t0, dan tidak signifikan pada t-2, t-1, t+1, t+2, t+3, sehingga dapat disimpulkan bahwa kebijakan tersebut terdapat kandungan informasi namun diserap dengan cepat oleh pelaku pasar, sehingga pasar dikatakan efisien dalam bentuk setengah kuat secara informasi.
Kata kunci: Abnormal Return; Hipotesis Pasar Efisien; Reaksi Pasar Modal; Suku Bunga.
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References
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Chhatwal, H., & Lamba, A. (2017). Factors affecting abnormal returns around bonus Issue announcements: An empirical analysis of CNX 500 companies. MUDRA: Journal of Finance and Accounting, 4(2), 1–21.
Christianto, S., & Purbawangsa, I. B. A. (2022). Reaksi Pasar Terhadap Peristiwa Right Issue Di Bursa Efek Indonesia. Udayana University.
Dewi, A. S., & Viska, V. Y. (2018). Model Kausalitas Antara Tingkat Inflasi, Suku Bunga Dan Nilai Kurs Dollar As Terhadap Indeks Harga Saham Gabungan Pada Bursa Efek Indonesia. Jurnal Ilmiah Ekonomi Dan Bisnis, 15(1), 50–56.
Donadelli, M., Gufler, I., & Pellizzari, P. (2020). The macro and asset pricing implications of rising Italian uncertainty: evidence from a novel news-based macroeconomic policy uncertainty index. Economics Letters, 197, 109606.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417.
Frikasih, J., Muaja, M., Nussy, S., Manampiring, G., & Maramis, J. (2022). Reaksi Pasar Modal Terhadap Kenaikan Suku Bunga The Federal Reserve Bank Amerika Serikat 15 Juni 2022 Pada Indeks Saham Nasdaq 101 Yang Terdaftar Di New York Stock Exchange. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 10(4), 1445–1454.
Gursida, H., & Indrayono, Y. (2019). Understanding capital market responses to government economic policy announcements: An event study on Indonesia’s Economic Policy Package. Management Science Letters, 9(11), 1887–1900.
Handayani, E., Rahmawati, A., Haryanto, E., & Wahyuni, S. (2020). Abnormal return of Indonesian banking shares in the time of COVID 19: An event study on the announcement of government regulation, POJK 11 of 2020. International Journal of Research in Business and Social Science (2147-4478), 9(7), 108–114.
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Indrayuda, A., & Sukartha, I. M. (2019). Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018. E-Jurnal Akuntansi Universitas Udayana, 29(2), 854.
Jelantik, I. G. A. A. I. D. L., & Suarjaya, A. A. G. (2022). Analysis Of Capital Market Reaction To The Announcement Of The Minister Of Finance Regulation (Pmk) Number 20/Pmk. 010/2021 And Number 77/Pmk. 010/2021. American Journal of Humanities and Social Sciences Research, 6(3).
Madani, M. N., Iskandar, R., & Azis, M. (2020). Capital Market Reaction in Indonesia Stock Exchange to Stock Split Events Reviewed From Abnormal Returns, Trading Volume and Bid-Ask Spreads in Growing and Good Speaking Companies. Saudi Journal of Business and Management Studies, 5(7), 428–437.
Mahendra, I. K. R., & Rasmini, N. K. (2019). Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018. E-Jurnal Akuntansi, 27(3), 2066–2099.
Muna, H., & Khaddafi, M. (2022). The effect of stock split on stock return, stock trading volume, and systematic risk in companies listed on the Indonesia stock exchange. International Journal of Finance, Economics and Business, 1(1), 51–56.
Murdiana, D., Adrianto, F. & Alfarisi, M.F., 2022. Announcement Of Reduction In BI7DRR Interest Rate For 2019 To 2021 On Abnormal Return And Cumulative Abnormal Return Of Indonesian Banking Share. Enrichment: Journal of Management, 12(3), pp.2418-25.
Nagendra, M. & Babu, P.M.S., 2018. Impact of Corporate (Different Stock Split Ratios) Action on Stock Price in India. International Journal of Research in Economics and Social Sciences (IJRESS), 8(1), pp.205-14.
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(3), 1966–1993.
Puspita, N.V. & Yuliari, K., 2019. Analisis Pengaruh Stock Split Terhadap Harga Saham, Abnormal Return, dan Risiko Sistematik Saham Perusahaan (Studi pada Perusahaan yang Terdaftar di BEI 2016-2018). Jurnal Ekonomi Universitas Kadiri (EkoNiKa), 4(1), pp.95-11
Putra, I., & Suarjaya, A. A. G. (2020). Analysis of Market Reaction to Announcements Of Stock Split. American Journal of Humanities and Social Sciences Research, 4(6), 114–120.
Putri, N. A., Lukytawati, A., & Syamsul, H. P. (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.
Sayudha, A.A.G.R. & Rasmini, N.K., 2021. Reaksi Pasar atas Pengumuman Penurunan Bank Indonesia 7-Day Reverse Repo Rate. E-Jurnal Akuntansi, 31(8), pp.1907-17.
Singh, G. & Padmakumari, L., 2020. Stock Market Reaction to Inflation Announcement in the Indian Stock Market: A Sectoral Analysis. Cogent Economics & Finance, 8(1), pp.1-22.
Sudirman, I.M.S.N., 2010. Dampak Kenaikan BI Rate Terhadap Reaksi Pasar Saham-saham LQ-45 di Bursa Efek Indonesia. Matrik Jurnal Manajemen, 4(1), pp.1-16.
Syed, A. M., & Bajwa, I. A. (2018). Earnings announcements, stock price reaction and market efficiency--the case of Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 11(3), 416–431.
Tandelilin, E. (2010). Analisis Investasi dan portofolio. Edisi Pertama, Yogyakarta: BPFE.
Utama, K. S. B., & Purbawangsa, I. B. A. (2018). The impact regulation of trade minister of the Republic of Indonesia\# 82 of 2017 against market reactions in Indonesia stock Exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 81(9), 286–291.
Widyasari, T. N., Suffa, I. F., Amalia, N., & Praswati, A. N. (2018). Analisis Reaksi Pasar Modal Atas Peristiwa Kebijakan Amnesti Pajak 2016 (Studi Efisiensi Pasar Modal Indonesia). Jurnal Administrasi Bisnis, 6(2), 137–146.
Wismantara, S. Y., & Darmayanti, N. P. A. (2017). Pengaruh nilai tukar, suku bunga dan inflasi terhadap indeks harga saham gabungan di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, Vol. 6, No.
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Published
2024-02-29
How to Cite
GAYATRI, Putu Ayu Mita; GEDE SUARJAYA, Anak Agung; DANA, I Made.
REAKSI PASAR MODAL AKIBAT PENGUMUMAN KENAIKAN BANK INDONESIA 7-DAY REVERSE REPO RATE TANGGAL 17 NOVEMBER 2022.
E-Jurnal Manajemen, [S.l.], v. 13, n. 2, p. 298 - 316, feb. 2024.
ISSN 2302-8912. Available at: <https://ojs.unud.ac.id/index.php/manajemen/article/view/103867>. Date accessed: 19 nov. 2024.
doi: https://doi.org/10.24843/EJMUNUD.2024.v13.i02.p07.
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