Pengaruh Pengumuman Paket Kebijakan Ekonomi Jilid XIV Terhadap Abnormal Return Seluruh Saham di Bursa Efek Indonesia

Abstract

The purpose of this study is to determine the reaction of the capital market to an event
or announcement in this case is the announcement of the Economic Policy Package Volume
XIV on November 10, 2016. Capital market reaction will be seen or observed through
indicators of abnormal return of listed companies shares in Indonesia Stock Exchange.
Researchers believe that one of the factors that cause changes or fluctuations in stock prices
is the information in circulation. Such as regulations or policies issued to encourage
economic growth that are believed to add value to the firm. This research uses event study
method. Sampling technique using nonprobabilitas method in the form of purposive
sampling. The samples used in this research are 45 stocks of companies that are included in
the LQ45 index component for the period of August 2016 - January 2017. The observation
period in this research is 71 trading days consisting of 60 days in the estimated period, 11
days in the event period divided into five days before and five days after the date of the event.
The statistical test in this research uses parametric statistics in the form of one sample t-test
and paired sample t-test. Based on the results of different test with one sample t-test shows
that there is a positive significant average abnormal return that occurs around the
announcement of Economic Policy Volume XIV, but average abnormal return positive is
significant only occurs at the time of policy announcement (t0). The result of different test of
paired sample t-test shows that there is no significant difference between the average
abnormal return before and after the announcement of Economic Policy Package Volume
XIV. After conducting the research, it can be concluded that there is a positive market
reaction to the announcement of the Economic Policy Package Volume XIV.

Keywords : Event Study, Abnormal Return, Economic Policy Package Volume XIV.