Reaksi Pengumuman Restrukturisasi Perbankan Terhadap Harga Dan Aktivitas Volume Perdagangan Saham Perbankan Di BEI : Kasus pada Pengumuman Reformasi Perbankan 13 fMaret 1999 dan legal Merger Bank Take Over 3OJuni 2000

WAHYANTI , LENNY INDRA (2000) Reaksi Pengumuman Restrukturisasi Perbankan Terhadap Harga Dan Aktivitas Volume Perdagangan Saham Perbankan Di BEI : Kasus pada Pengumuman Reformasi Perbankan 13 fMaret 1999 dan legal Merger Bank Take Over 3OJuni 2000. Masters thesis, program Pascasarjana Universitas Diponegoro.

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Abstract

ABSTRACT This study is an event study that investigates how successful does the Indonesia government banking reforms measure in strengthening its banldng system. There are two events to be investigated in this study, first The banking reforms announcement on March 13, 1999 which consist of the closure of 38 private banks, the taken over of 7 private banks, 9 private banks will be recapitalized and let 73 private banks to continue their operation without joining the recapitalizaion program; second Legal merger bank take over with Danamon announcement on June 30, 2000 to continue recovery banks which taken over since March 13, 1999. That event has caused fluctuation on Composite Stock Price Index (CSPI). Fluctuation in CSPI can cause abnormal return for investor. The purpose of this study are aimed to analyze stock price mowement before and after announcement. This study also tries to compare abnormal return from two announcement. These two events above, are expected to be good news or favorable information for investor on Jakarta Stock Exchange (JSX), and should be responded positively by investor which indicates significantly increase on banking stock after the event dates. The sample is chosen in this study is ten samples of banking stock which were listed on JSX. The same samples in two period and they are a likuid or active samples which traded in JSX. Data used in this study are daily stock price, trading activity and daily CSPI. The result did not find signifikan abnormal return around period 1999 although CSPI fluctuated sharply. It means, investor can ininiinize risk caused by that monetary event, significant abnormal return were not found because this announcement have anticipated the market. Trading volume activity (TVA) test has found that TVA of banicing stock after the event date was significantly greater than before. In contrast, the result founded significant abnormal return around period 2000. But TVA test did not find differences banking stock after the event and before. About compare two period between 1999 and 2000, there is not find a difference significant abnonnal return. It means, in the different condition investor will get the same average abnormal return. But, TVA test has founded a difference average abnormal return. ABSTRAKSI Penelitian ini mengenai event study yang meneliti tentang keberhasilan restrukturisasi perbankan yang dilakukan pemerintah dalam memperkuat system perbankan Indonesia. Event yang diteliti ada 2 yakni pengwnuman reformasi perbankan 13 Maret 1999 dan Legal Merger 30 Juni 2000. tindakan Legal Merger ini adalah melanjutkan taliapan penyehatan perekonoinian Indonesia setelah reformasi perbankan. Reformasi perbankan yang dilakukan adalah dengan menutup 38 bank, melakukan Take Over terhadap 7 bank, merekapitalisasi 9 bank dan membiarkan 73 bank beroperasi seperti biasa. Dalam Legal Merger dilakukan merger dan bank-bank take over dengan bank Danamon. Event tersebut menimbulkan fluktuasi terhadap 1118G. Adanya fluictuasi ini akan menyebabkan abnonnal return bag investor. penelitian ini akan meneliti Iebth jauh reaksi tersebut dengan menganalisa harga saham sebelum dan sesudah serta pada saat event. Setelah itu juga akan dibanding reaksi dna event tersebut. Dan dua event tersebut diharapkan menjadi berita yang balk bag investor di BEJ sehingga tidak akan menimbulkan abnormal return negatif serta menimbulkan respon yang positif setelah adanya pengumuman tersebut. Sampel yang dipakai adalah 10 saham perbankan yang terdaftar di BEJ. Diperoleh 10 saham dengan nama yang sama untuk 2 periode tersebut. Peinilihan saham adalah saham yang likuid atau aktif diperdagangkan di BET. Data yang dipenlukan yakni harga saham hanian, aktivitas perdagangan dan IHSG. Hasil yang diperoleh yakni tidak ditemukannnya abnormal return path event yang sudah diantisipasi pasar (anticipated events) sedangkan path peristiwa yang tidak diantisipasi pasar (unanticipated events) ditemukan abnormal return. Sedangkan untuk aktivitas volume perdagangan 1999 lebth tinggi pada saat setelah penistiwa. Hal itu kontras dengan tahun 2000, yakni tidak ada beda. Setelah dibandingkan antar 2 periode temyata tidak terdapat perbedaan abnormal return. Dengan test TVA terdapat perbedaan abnormal return.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:8795
Deposited By:Mr UPT Perpus 2
Deposited On:20 Apr 2010 13:29
Last Modified:20 Apr 2010 13:29

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