ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGUMUMAN PENGHENTIAN EKSPOR KOMODITAS SAWIT TAHUN 2022
Abstract
Studi peristiwa ini bertujuan untuk mengetahui apakah terdapat reaksi pasar modal Indonesia atas pengumuman penghentian ekspor komoditas sawit tahun 2022 dengan menggunakan indikator abnormal return, trading volume activity, dan bid ask spread. Sampel dalam penelitian ini adalah 22 saham perusahaan sawit yang tedaftar pada Bursa Efek Indonesia (BEI). Data yang berjenis sekunder diantaranya harga saham harian, volume perdagangan saham, harga saham harian tertinggi dan terendah, indeks harga saham harian selama tiga hari sebelum, satu hari pada saat, dan tiga hari setelah peristiwa. Berdasarkan uji paired sample t test dan uji wilcoxon diperoleh hasil bahwa terdapat perbedaan signifikan pada rata-rata abnormal return, sementara rata-rata trading volume activity dan bid ask spread terjadi perbedaan tidak signifikan. Hasil yang muncul dari penelitian ini menggambarkan bahwa pasar modal Indonesia menunjukan reaksi terhadap peristiwa yang terjadi yakni pengumuman penghentian ekspor komoditas sawit.
Kata kunci: Abnormal Return; Bid Ask Spread; Studi Peristiwa; Trading Volume Activity
an penghentian ekspor komoditas sawit.
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References
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Agustina, L., Gunawan, Y., & Chandra, W. (2020). The Impact of Tax Amnesty Announcement towards Share Performance and Market Reaction in Indonesia The Impact of Tax Amnesty Announcement towards Share Performance and Market Reaction in Indonesia. Manajemen, 7(2), 39–47. https://doi.org/10.5430/afr.v7n2p39
Alexander, A. (2018). Analisis Abnormal Return Dan Trading Volume Activitysebelum Dan Sesudah Stock Split Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia. Jurnal Manajemen, 10(1), 1–6. https://doi.org/https://doi.org/10.30872/jmmn.v10i1.3803
Ali, N. P., & Saha, A. (2021). Market Efficiency of Indian Capital Market : An Event Study Around the Announcement of Results of Lok Sabha Election 2019. 12(1), 60–70. https://doi.org/10.5430/ijfr.v12n1p60
Badan Pusat Statistik. (2022). Ekspor Desember 2021 mencapai US$22,38 miliar dan Impor Desember 2021 senilai US$21,36 miliar. https://www.bps.go.id/
Chandra, R. (2022). Reaksi Pasar Modal Terhadap Peristiwa Pemungutan Suara Pengumuman Hasil Quickcount Pemilihan Presiden dan Wakil Presiden Republik Indonesia Tahun 2019. 6(1), 659–667. https://doi.org/https://doi.org/10.31539/costing.v6i1.4525
Chhetri, S. D., & Baral, R. P. (2018). Event Study of Effect of Merger Announcement on Stock Price in Nepal. Business and Management, 5(1), 64–73.
GAPKI. (2022). Nilai Ekspor CPO Tembus US$ 35 Miliar pada 2021.
Gumanti, T. A., Savitri, E., Nisa, N. W., & Utami, E. S. (2018). Event Study on the Crash of Airasia Plane : A Study on Travel and Leisure Companies Listed at Malaysian Stock Market *). 20(1), 20–26. https://doi.org/10.9744/jak.20.1.20-26
Imani, B. T., Maharani, S. N., & Putri, S. F. (2016). Comparative Analysis Between Pre-Trading Volume Activities with Post Event Tax Amnesty. 5, 39–49.
Isna, S. (2016). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Ekonomi Dalam Negeri.
Jaya, D., & Panji, S. (2022). Market Reaction Before and After Stipulation of Presidential Regulation Point Market Reaction Before and After Stipulation of Presidential Regulation Point 55 in 2019. January 2020.
Jogiyanto, H. (2013). Teori Portofolio dan Analisis Data. In Manajemen (Vol. 1, Issue 2). BPFE Yogyakarta.
Kementerian Pertanian. (2021). Oil Palm Area by Province in Indonesia. 2020.
Kenjegaliev, S. G. H. and A. (2016). Effect of oil price changes on the price of Russian and Chinese oil shares. Empirical Economics.
Kirana, N. (2019). The effect of political event on the indonesian stock market: an event study of presidential election on lq45 index stocks. 19(1), 40–49.
Luh, N., Ika, P., & Purnamawati, I. G. A. (2020). Analisis Komparatif Abnormal Return , Trading Volume Activity dan Bid Ask Spread Terhadap Pelantikan Menteri BUMN Erick Thohir Pada IDX BUMN20. 8(2), 196–202.
Malini, H., & Giovandi, H. (2022). The Impact of the United States of America and China Export Rate Setting on Wealth and Liquidity of Shareholders. 5(May), 311–324.
Muhammad, A., Haitan, W., & Wahid. (2020). COVID‐19 outbreak and sectoral performance of the Australian stock market: An event study analysis. Australian Economic Papers, 60, 482–495. https://doi.org/https://doi.org/10.1111/1467-8454.12215
Nadhila, A. (2018). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Peristiwa January effect di Bursa Efek Indonesia (Event Study pada Sektor Industri Barang Konsumsi Periode 2013-2017.
Nurlina. (2019). Peranan Hasil Perkebunan Kelapa Sawit Terhadap Pendapatan Masyarakat Perspektif Ekonomi Islam (Studi Di Desa Patika Kecamatan Sarudu Kabupaten Pasangkayu).
Prihantini, F. N., Indudewi, D., & Mansur, A. (2021). The Difference in Abnormal Return and Trading Volume Activity Analysis During and After Presidential Election on 17 April 2019 In Transport , Infrastructure And Utility Company Listed In Indonesia Stock Exchange in 2019. 05(02), 114–126.
Safira, T. H., & Simon, F. (2016). Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split (Studi Pada Perusahaan Yang Terdaftar Di BEI Periode 2008-2015). Ultima Accounting, 8(2), 24–45.
Saraswati, M. (2018). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pengumuman Hasil Penghitungan Suara Pemilihan Umum dan Pelantikan Presiden Amerika Serikat. E-Jurnal Manajemen, 7(6), 2971–2998. https://doi.org/https://doi.org/10.24843/EJMUNUD.2018.v07.i06.p05
Saroji, R. P. (2018). Dampak Industri Pariwisata Terhadap Penyerapan Tenaga Kerja Ditinjau Dari Perspektif Ekonomi Islam (Studi pada Hotel, Biro Perjalanan Wisata, Kuliner dan Objek wisata Kabupaten Lombok Barat). Al-Tijary, 4(1), 61–70. https://doi.org/10.21093/at.v4i1.1266
Satryo, A. A., & Wijayanto, A. (2019). Capital Market Reaction of Trade Wars ( Event Study on the South Korean and Indonesia Stock Exchanges ). 8(2).
Siong-yain, D., & Khim-sen, V. (2021). Munich Personal RePEc Archive Impacts of Unusual Market Activity Announcement on Stock Return : Evidence from The Ace Market in Malaysia. 107989.
Talavera, F. (2020). Social media bots and stock markets. 26.
Tandelin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Kanisius.
Wati, Y., Chandra, T., & Wijaya, E. (2022). Analysis Of The Influence Events On The Increase And Decrease Of World Oil Prices On Abnormal Return And Trading Volume Activity In Mining Sector Companies That Registered In Indonesia Stock Exchange. 1(1), 181–192.
Wirakusuma, P. &. (2017). reaksi pasar modal Indonesia terhadap peristiwa pemilihan gubernur DKI Jakarta.
Yeni, F., Melani Putri, R., Elfiswandi, E., Lusiana, L., & Neldi, M. (2021). Analisis Bid Ask Spread Pada Masa Sesudah Right Issue Ditinjau Dari Harga Saham, Volume Perdagangan Dan Return Saham. Jurnal Ilmu Manajemen Terapan, 2(6), 849–858.
Published
2024-04-04
How to Cite
KUSUMA, I Gusti Ngurah Agung Bagus Dirotsaha; SUTRISNA DEWI, Sayu Ketut.
ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGUMUMAN PENGHENTIAN EKSPOR KOMODITAS SAWIT TAHUN 2022.
E-Jurnal Manajemen, [S.l.], v. 13, n. 3, p. 388 - 409, apr. 2024.
ISSN 2302-8912. Available at: <https://ojs.unud.ac.id/index.php/manajemen/article/view/104354>. Date accessed: 21 nov. 2024.
doi: https://doi.org/10.24843/EJMUNUD.2024.v13.i03.p02.
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