Irawan , Rudy Santosa (2000) Perilaku Harga Saham Di Bursa Efek Jakarta Seputar Terpilihnya Gus Dur Dan Mega Pada. Sidang Umum MPR 1999. Masters thesis, PROGRAM PASCASARJANA UNIVERSITAS DIPONEGORO .
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This study, analyzes stock price movement in Jakarta Stock Exchange around Gus Dur & Mega election. That event has caused fluctuation on several stock market indicators. One of the stock market indicators that sharply fluctuated was Composite Stock Price index. Fluctuation in Composite Stock Price Index can cause abnormal return for investors. It indicated risk that inight be earned by investors because the event of Gus Dur & Mega election. The purposes of this study are aimed to analyze whether investors earned significant abnormal return caused by that event, and analyze stock price movement before and after Gus Dur & Mega election. This study also tries to explain what factors influencing fluctuation in Composite Stock Price Index. The sample involved in this study is 30 stocks that have biggest market capitalization in Jakarta Stock Exchange. Data used in this study are daily stock price, rupiah exchange rate to dolar, daily Composite Stock Price Index, politics information, Central Bank Certificate interest Rate from 7 October 1999 until 4 November 1999, and weekly Composite Stock Price Index from 2 October 1998 until 6 October 1999. Two major methods applied in this study are Event Study Methodology and Multivariate Regression Model. The first method, event study, is used to analyze stock price movement around Gus Dur & Mega election. We also used the paired samples mean difference test to exainine the difference between two means of abnormal return (before and after Gus Dur & Mega election). The second method, Multivariate Regression Model, is used to analyze what factors influencing the stock price movement. The results did not find significant abnormal return around Gus Dur & Mega election although Composite Stock Price index fluctuated sharply. It means, investors can ininiinize risk caused by that political event. The results also showed no significant difference between abnormal return before and after Gus Dur & Mega election for 30 stocks that have been observed. Significant abnormal return were not found because President & Vice President election event can be categorized as an anticipated event, so before the event date investors have anticipated it long time ago. Stock price movement around that event was caused by fluctuation in exchange rate. We also found that Central Bank Certificate Interest Rate did not influence stock price movement because the fluctuation on Central Bank Certificate Interest Rate was relative constant.
|Item Type:||Thesis (Masters)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||School of Postgraduate (mixed) > Master Program in Management|
|Deposited By:||Mr UPT Perpus 1|
|Deposited On:||20 Apr 2010 12:51|
|Last Modified:||20 Apr 2010 12:51|
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