Penulis / NIM
PARAMITA LIBUNELO / 931412199
Program Studi
S1 - MANAJEMEN
Pembimbing 1 / NIDN
HAIS DAMA, SE, M.Si / 0005037306
Pembimbing 2 / NIDN
YAYU ISYANA D. PONGOLIU, SE., M.Sc / 0004018303
Abstrak
ABSTRAK
PARAMITA LIBUNELO 2016. Analisis Reaksi Pasar Modal Indonesia atas Peristiwa Politik (Pemutusan diplomatik antara Arab Saudi dan Iran) (Dibimbing oleh Hais Dama, SE. M.Si dan Yayu Isyana D. Pongoliu, SE, M.Sc) Jurusan Manajemen. Fakultas Ekonomi. Universitas Negeri Gorontalo.
Tujuan dari penelitian ini adalah untuk mengetahui reaksi pasar modal Indonesia terhadap peristiwa diplomatik Arab Saudi dan Iran. Penelitian ini menggunakan indikator abnormal return dan trading volume activity pada seluruh saham aktif yang termasuk dalam Indeks LQ 45 di Bursa Efek Indonesia.
Adanya ketegangan antara Arab Saudi dan Iran mengakibatkan harga saham naik seperti harga minyak melambung seiring dengan memburuknya hubungan diplomatik Arab Saudi dan Iran, hal ini menimbulkan kekhawatiran akan terganggunya pasokan minyak dunia.
Periode penelitian terdiri dari 30 periode estimasi dan 11 hari periode peristiwa. Alat statistik yang digunakan untuk pengujian hipotesis adalah uji t yaitu paired sample t-test.
Hasil uji paired sample t-test membuktikan bahwa tidak ditemukan perbedaan signifikan antara AAR saham pada periode sebelum dan setelah pemutusan diplomatik antara Arab Saudi dan Iran namun terdapat perbedaan signifikan antara ATVA pada periode sebelum setelah peristiwa pemutusan diplomatik antara Arab Saudi dan Iran. Sehingga dapat disimpulkan bahwa pasar atau investor berekasi terhadap pernyataan peristiwa politik pemutusan diplomatik antara Arab Saudi dan Iran dilihat dari Trading volume activity (TVA)
Kata Kunci: Abnormal Return, Trading Volume Activity
ABSTRACT
Paramita LIBUNELO 2016. the Analysis of Indonesian Capital Market Reaction towards Political Event (Diplomatic affair between Saudi Arabia and Iran) (Principal Supervisor Hais Dama, SE. M.Si and Co-Supervisor is Yayu Isyana D. Pongoliu, SE, M.Sc) Department of Management. Faculty of Economics. State University of Gorontalo.
The research aimed at abserving Indonesian capital market reaction towards diplomatic affair between Saudi Arabia and Iran. This research abnormal return indicator and trading volume activity on the entire active stocks which are included in LQ 45 index in Indonesia Stock Exchange.
The tensions between Saudi Arabia and Iran made stock pricehad increased as oil prices along with the aggravation of diplomatic relation between Saudi Arabia and Iran, it led disruption of world oil supplies.
The period of research consists of 30 periods of estimation and 11 days periods of events. Statistical tool that is used to test the hypothesis is t test, paired sample t-test.
The result of paired samples t-test discovers that there is no significant differences between the AAR stock in the period before and after diplomatic affair between Saudi Arabia and Iran, however there is a significant differences between ATVA in the period before after the diplomatic affair between Saudi Arabia and Iran. It can be concluded that, market or investor react to the political event statement of diplomatic affair between Saudi Arabia and Iran viewed by Trading volume activity (TVA)
Keywords: Abnormal Return, Trading Volume Activity
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