REAKSI PASAR MODAL TERHADAP PENGUMUMAN PELUNCURAN BADAN PENGELOLA INVESTASI DANANTARA INDONESIA PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS SAHAM LQ45
DOI:
https://doi.org/10.24843/EJMUNUD.2026.v15.i4.p01Keywords:
abnormal return; event study; trading volume activityAbstract
Reaksi pasar adalah tanggapan atau respons dari pasar yang muncul akibat adanya informasi baru yang beredar dianggap relevan oleh investor. Respons ini dapat tercermin melalui perubahan harga sekuritas maupun melalui aktivitas perdagangan di pasar modal. Penelitian ini bertujuan menguji ada tidaknya reaksi pasar terhadap peristiwa pengumuman peluncuran BPI Danantara Indonesia. Indikator yang digunakan adalah abnormal return dan trading volume activity selama 11 hari pengamatan di sekitar peristiwa yang terdiri atas lima hari sebelum peristiwa, satu hari pada saat peristiwa, serta lima hari setelah peristiwa berlangsung dengan menggunakan event study. Penelitian ini menggunakan sampel jenuh, yaitu melibatkan total 45 perusahaan yang terdaftar di Indeks Saham LQ45 sebagai sampel penelitian. Penelitian ini menggunakan paired sample t-test dan paired sample wilcoxon signed rank test. Hasil penelitian menunjukkan abnormal return yang negatif dan tidak signifikan, sementara trading volume activity menunjukkan hasil negatif dan signifikan. Temuan ini mengindikasikan bahwa pasar tidak merespons peristiwa melalui pergerakan harga, melainkan melalui pengurangan aktivitas perdagangan. Implikasi penelitian ini memberikan kontribusi teoretis berupa bukti empiris dari teori pasar efisien dan masukan praktis bagi emiten ketika peristiwa serupa terjadi di pasar modal.
Market reaction refers to the response of the capital market when new information is disseminated and deemed relevant by investors. Such responses are reflected through changes in security prices or variations in trading activity. This study examines whether the Indonesian capital market reacted to the announcement of the establishment of BPI Danantara Indonesia. Market reaction was measured using two indicators, abnormal return and trading volume activity, within an 11-day event window consisting of five days before the event, the event date, and five days after, applying the event study methodology. The research employed a saturated sampling method, involving all 45 companies listed in the LQ45 Index as the sample. Statistical testing was carried out using paired sample t-test and Wilcoxon signed-rank test to examine differences before and after the event. The results show that abnormal returns were negative but not statistically significant, while trading volume activity recorded negative and significant outcomes. These findings suggest that the market did not react through price movements but rather through a decline in trading activity. The study contributes theoretically by providing empirical evidence consistent with the efficient market hypothesis and offers practical implications for issuers in anticipating similar events in the capital market.
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