PERILAKU HARGA DAN VOLUME PERDAGANGAN (Studi Peristiwa Dampak Penundaan Pencairan Bantuan IMF pada Saham Dominasi Asing dengan Pendekatan Koreksi Beta)

Authors

  • Rini - Mahgianti Mahasiswa Program Magister Manajemen, PPSUB
  • Umar - Burhan Dosen Jurusan Studi Pembangunan, FE UB
  • Iwan - Triyuwono Dosen Jurusan Akuntansi, FE Unibraw

Abstract

ABSTRACT

 

Theoritically has been stated that any relevant informations can create any market reactions indicated by price behaviour and trading volume. Research aimed  at analysing market reaction through any indicator of  cumulative abnormal return (CAR) and cumulative abnormal trading volume (CATVA) resulted by the delay of IMF grant.  Research was focused on the broad dominance stock and domestic dominance stock as a comparation. Market model approach was used in this analysis and the beta corection model to determine the expected return.

Results show that delay of IMF grant contain any negative informations indicated by the significant reduce of CAR and CATVA, before and after annoucement.

 

Keywords: prive behaviour, CAR, CATVA, trading volume

ABSTRAK

 

Secara teoritis dinyatakan bahwa informasi yang relevan dapat menimbulkan reaksi pasar yang dapat tercermin dari harga dan volume perdagangan.

Penelitian ini bertujuan menguji reaksi pasar melalui indikator cumulative abnormal return (CAR) dan cumulative abnormal trading volume (CATVA) akibat pengumuman penundaan pencairan bantuan IMF. Obyek penelitian dilakukan pada saham dominasi asing dan sebagai pembanding dilakukan pula pengujian pada saham dominasi domestik. Pengujian dilakukan dengan pendekatan market model dan menambahkan model koreksi beta untuk penentuan expected return.

Hasil penelitian yang diperoleh menunjukkan bahwa pengumuman penundaan bantuan IMF memiliki kandungan informasi negatif yang terlihat dari adanya penurunan CAR dan CATVA yang signifikan sebelum dan setelah pengumuman.

 

Kata kunci: Perilaku harga, CAR, CATVA, volume perdagangan

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Issue

Vol. 12 No. 4 (2009)

Section

Articles

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