ANALISIS REAKSI PASAR ATAS PERISTIWA PENGUNDURAN DIRI PRESIDEN SOEHARTO (Studi Kasus di Bursa Efek Jakarta)

Abstract

Bursa Efek Jakarta sebagai sarana investasi tidak lepas dari pengaruh lingkungan, tenaama lingkungan ekonomi dan politik. Instabilitas politik akibat pergantian kepala negara tendering mendapat respon negatif dari pelaku pasarnya. Penelitian ini memiliki tiga tujuan, pertama, menguji dan menganalisis kandungan informasi dan efisiensi pasar bentuk setengah kuat Bursa Efek Jakarta atas peristiwa pengunduran diri Presiden Soeharto. Kedua, menguji dan menganalisis pengaruh ukuran, pertumbuhan, dan risiko perusahaan terhadap terjadinya reaksi pasar atas peristiwa pengunduran did Presiden Soeharto. Ketiga, menguji dan menganalisis pengaruh perubahan persediaan, piutang, laba kotor dan biaya operasi terhadap terjadinya reaksi pasar atas peristiwa pengunduran diri Presiden Soeharto. Teknik pengambilan sampel dilakukan secara stratified proportional random sampling, berdasar sembilan sektor yang ada di Bursa Efek Jakarta. Hasil akhir sampel berjumlah 46 emiten. Metodologi event study yang dikeinbangkan oleh Brown (1968) dan Fama et,al. (1969) dan analisis regresi digunakan sebagai teknik analisis dalam penelitian Mi. Hasilnya, peristiwa pengunduran did Presiden Soeharto memiliki kandungan informasi yang dibuktikan dengan adanya abnormal returns yang signifikan selama event period, tetapi Bursa Efek Jakarta belum dapat dikatakan efisien dalam bentuk setengah kuat, dengan tidak adanya abnormal return pada saat terjadinya peristiwa (event date). Dad hasil analisis regresi, tidak ditemukan satu faktor pun yang mempengaruhi terjadinya reaksi pasar, atau dengan kata lain, ukuran, pertumbuhan, dan risiko perusahaan, maupun perubahan persediaan, piutang, laba kotor dan biaya operasi mempengaruhi terjadinya reaksi pasar atas peristiwa pengunduran did Presiden Soeharto dengan tidak bermalcna.Jakarta Stock Exchange as an instrument of investment is often to be related with economic dan political movement. Political instability that was caused by resignation of President Soeharto seems got a negative response from the market. This study has three objectives, firstly, to examine and to analyze the information behind the event and the efficiency of semi-strong the market during Soeharto resignation. Secondly, to identify the firm size, the firm growth and the firm risk that influence the market reaction on Soeharto resignation. Thirdly, to identify the change of inventory, account receivable, gross profit and operating cost that influence the market reaction on Soeharto resignation. The sample technique of stratified proportional random sampling was employed to withdraw the sample from nine sectors in Jakarta Stock Exchange. The final sample were 46 firms. Event study metodology by Brown (1968) and Fama, et.al (1969) and regression analysis were used to analyze the data in this study. The result show that the event of Soeharto resignation has significant information as indicated and proved by the abnormal returns during the event period. However, Jakarta Stock Exchange has not indicated efficient in semi- strong market. This is due to the abnormal returns during the event was occured is perform not significant. From the regression analysis show that there are no significant variables which can influence market reaction. Moreover, the firm size, the firm growth, the firm risk, and the change of inventory, account receivable, gross profit and operating cost influenced the market reaction on Soeharto resignation with no meaning.