Setyawan , St Tri Adi (2006) ANALISIS REAKSI PASAR MODAL TERHADAP KENAIKAN HARGA BBM (Studi Kasus: di Bursa Efek Jakarta untuk Saham-Saham LQ 45). Masters thesis, Program Pasca Sarjana Universitas Diponegoro.
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Abstract
During year 2005 natural world oil price of increase of gyration 40 ACE dollar per barrel till gyration 60 ACE dollar per barrel. Considering functioning oil as production process materials and fuel for industry, hence oil increase of price cause production cost burden for industry so that will weaken basal aspect of company. Impact of company share price will tend to experience of degradation. In this research increase of price of BBM event happened twice that is 1 March 2005 and 1 October 2005 and anticipated to influence commerce volume and share price movement creation in JSX. This research use method analysis study event which weared many in researches of study event, for example by Suryawijaya and of Setiawan ( 1998), Affandi, al et ( 1998), and Paultje ( 2001). First step taken determining period of research. Period of research the used is 70 stock day which consist of period of estimation (period estimation) and period of event (period event). Period of estimation which used in this research is during 60 day, that is t-65 till t-6 before day event of[ 1 March 2005 ( increase of price of BBM 1) and 1 October 2005 ( increase of price of BBM 2). Result of research increase of price of BBM 1 March 2005 and 1 October 2005 causing existence of fluctuation of price of share in Jakarta Stock Exchange. React capital market to existence of increase of price of BBM is true can be anticipated to remember issue in around increase of BBM have circulated before date of increase. Price of share react moment there announcement of about increase of price BBM, but pursuant to result of research show difference abnormal return and total volume activity not signifikan at before and hereafter announcement of increase of price BBM. Others there are not difference of average abnormal return which signifikan of increase of price of BBM 1 March 2005 by 1 October 2005. Selama tahun 2005 harga minyak dunia mengalami kenaikan dari kisaran 40 dolar AS per barel hingga kisaran 60 dolar AS per barel. Mengingat minyak berfungsi sebagai bahan bakar dan bahan proses produksi bagi industri, maka kenaikan harga minyak menyebabkan beban biaya produksi bagi industri sehingga akan melemahkan aspek fundamental perusahaan. Dampaknya harga saham perusahaan akan cenderung mengalami penurunan. Dalam penelitian ini peristiwa kenaikan BBM terjadi dua kali yaitu 1 Maret 2005 dan 1 Oktober 2005 dan diduga mempengaruhi terciptanya pergerakan harga saham dan volume perdagangan di BEJ. Penelitian ini menggunakan metode analisis event study yang banyak dipakai dalam penelitian-penelitian event study, antara lain oleh Suryawijaya dan Setiawan (1998), Affandi, et al (1998), dan Paultje (2001). Langkah pertama yang dilakukan adalah menentukan periode penelitian. Periode penelitian yang digunakan adalah 70 hari bursa yang terdiri dari periode estimasi (estimation period) dan periode peristiwa (event period). Periode estimasi yang digunakan dalam penelitian ini adalah selama 60 hari, yaitu t-65 hingga t-6 sebelum event day tanggal 1 Maret 2005 (kenaikan harga BBM 1) dan 1 Oktober 2005 (kenaikan harga BBM 2). Hasil penelitian pada kenaikan harga BBM tanggal 1 Maret 2005 dan 1 Oktober 2005 menyebabkan adanya fluktuasi harga saham di Bursa Efek Jakarta. Reaksi pasar modal terhadap adanya kenaikan harga BBM memang bisa diduga mengingat isu seputar kenaikan BBM sudah beredar sebelum tanggal kenaikan. Harga saham bereaksi saat ada pengumuman tentang kenaikan harga BBM, tetapi berdasarkan hasil penelitian menunjukkan perbedaan abnormal return dan total volume perdagangan tidak signifikan pada sebelum dan sesudah pengumuman kenaikan harga BBM. Selain itu tidak terdapat perbedaan rata-rata abnormal return yang signifikan kenaikan harga BBM 1 Maret 2005 dengan 1 Oktober 2005.
Item Type: | Thesis (Masters) |
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Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
Divisions: | School of Postgraduate (mixed) > Master Program in Management |
ID Code: | 15917 |
Deposited By: | Mr UPT Perpus 1 |
Deposited On: | 07 Jul 2010 08:26 |
Last Modified: | 07 Jul 2010 08:26 |
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