ANALISIS PENGARUH HARGA SAHAM, RETURN SAHAM, VARIAN RETURN SAHAM, EARNINGS DAN VOLUME PERDAGANGAN SAHAM TERHADAP BID ASK SPREAD PRA DAN PASCA PENGUMUMAN LAPORAN KEUANGAN (STUDI EMPIRIS PADA SAHAM LQ 45 DI BURSA EFEK JAKARTA)

Abstract

ABSTRAKSI Bid ask spread ditentukan oleh dealer. Dealer akan berusaha untuk menentukan tingkat bid ask spread yang optimal, yaitu tingkat bid ask spread yang tidak merugikan dealer dan membuat saham tersebut aktif diperdagangkan. Oleh karena itu, dealer perlu mengetahui faktor-faktor yang mempengaruhi besamya bid ask spread. Saham-saham perusahaan yang mengumumkan laporan keuangan dalam kondisi good news memiliki prospek yang lebih baik bila dibandingkan dengan saham-saham perusahaan yang mengumumkan laporan keuangan dalam kondisi bad news. Perbedaan prospek saham ini memungkinkan penentuan tingkat bid ask spread yang berbeda pula. Pengujian hipotesis dilakukan pada sebanyak 42 data saham perusahaan yang mengumumkan laporan keuangan dalam kondisi good news dan sebanyak 80 data saham perusahaan yang mengumumkan laporan keuangan dalam kondisi bad news. Uji beda paired-sample t test digunakan untuk menguji perbedaan antara bid ask spread pra dengan bid ask spread pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Sedangkan analisis regresi digunakan untuk menguji pengaruh harga saham, return saham, varian return saham, earnings dan volume perdagangan saham baik secara parsial maupun secara simultan terhadap bid ask spread pra dan pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Hasil penelitian menunjukkan bahwa pertama, tidak ada perbedaan antara bid ask spread pra dengan bid ask spread pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Kedua, harga-saham berpengaruh negatif signifikan terhadap bid ask spread pra dan pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Ketiga, return saham tidak berpengaruh negatif signifikan terhadap bid ask spread pra dan pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Keempat, varian return saham berpengaruh positif signifikan terhadap bid ask spread pra dan pasca pengumuman laporan keuangan dalam kondisi bad news, serta terhadap bid ask spread pasca pengumuman laporan keuangan dalam kondisi good news. Kelima, earnings berpengaruh negatif signifikan terhadap bid ask spread pasca pengumuman laporan keuangan dalam kondisi good news. Keenam, volume perdagangan saham berpengaruh negatif signifikan terhadap bid ask spread pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Ketujuh, harga saham, return saham, varian return saham, earnings dan volume perdagangan saham secara bersama-sama berpengaruh signifikan terhadap bid ask spread pra dan pasca pengumuman laporan keuangan baik dalam kondisi good news maupun dalam kondisi bad news. Kata kunci : Bid Ask Spread, Asimetri Informasi, Pengumuman Laporan Keuangan, Harga Saham, Return Saham, Varian Return Saham, Earnings, Volume Perdagangan,Saham ABSTRACT Bid ask spread was determined by the dealer. The dealer was willing to reach the optimum spread, that is, the spread covered all the costs needed by the dealer and the stock was traded actively. Therefore, the dealer had to know about factors influencing bid ask spread. Stocks from companies publicing financial statements in good news had better prospects than stocks from companies publicing financial statements in bad news. These different prospects led to different bid ask spread determination. Hypothesis testing was performed on 42 stocks from companies publicing financial statements in good news and 80 stocks from companies publicing financial statements in bad news. Paired sample t test was used to test the differences between bid ask spread before and after the publication of financial statements both in good news and in bad news. Multiple regression analysis was used to test the effects of stock price, stock return, variance of stock return, earnings and stock trading volume on bid ask spread before and after the publication of financial statements both in good news and in bad news, both partially and simultaneously. The results show that first, there are no differences between bid ask spread before and after the publication of financial statements both in good news and in bad news. Second, stock price significantly has negative effect on bid ask spread before and after the publication of financial statements both in good news and in bad news. Third, stock return insignificantly has negative effect on bid ask spread before and after the publication of financial statements both in good news and in bad news. Fourth, variance of stock return significantly has positive effect on bid ask spread before and after the publication of financial statements in bad news, and also significantly has positive effect on bid ask spread after the publication of financial statements in good news. Fifth, earnings significantly has negative effect on bid ask spread after the publication of financial statements in good news. Sixth, stock trading volume significantly has negative effect on bid ask spread after the publication of financial statements both in good news and in bad news. Seventh, stock price, stock return, variance of stock return, earnings and stock trading volume simultaneously have significant effects on bid ask spread before and after the publication of financial statements both in good news and in bad news. Keywords : Bid Ask Spread, Information Asymmetry, Publication of Financial Statements, Stock Price, Stock Return, Variance of Stock Return, Earnings, Stock Trading Volume