REAKSI PASAR MODAL TERHADAP PENGUMUMAN PELUNCURAN BADAN PENGELOLA INVESTASI DANANTARA INDONESIA
DOI:
https://doi.org/10.24843/EJMUNUD.2026.v15.i4.p01Kata Kunci:
aktivitas volume perdagangan; return tak normal; studi peristiwaAbstrak
Reaksi pasar adalah tanggapan atau respons dari pasar yang muncul akibat adanya informasi baru yang beredar. 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 di sekitar peristiwa menggunakan event study. Penelitian ini menggunakan sampel jenuh, dengan total 45 perusahaan yang terdaftar di Indeks Saham LQ45 sebagai sampel. 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, yang 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.
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