REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA KEBIJAKAN KENAIKAN BI RATE, LENDING FACILITY, DAN DEPOSIT FACILITY SELAMA TAHUN 2013 (EVENT STUDY PADA SAHAM PERBANKAN)
ABSTRACT: The purpose of this
research is to analyze differences in average abnormal return and average
trading volume activity on banking stocks before and after the increase in
interest rates (BI rate), lending facility and deposit facility during 2013.
This research uses the event study method where the average abnormal return and
the average trading volume activity were observed within 3 days before and
after the event date. This research employs secondary data collected from
Indonesia Stock Exchange that consist of stocks closing price of banking
companies that were listed in the Indonesia Stock Exchange during 2013, Jakarta
Composite Index, daily trading volume, and number of outstanding shares. The results
show that, in general, there are differences in the response to the policy of
rate increase (BI rate), lending facility, and deposit facility by the
companies inthe research population. The difference in the average abnormal
return obtained from the results of analysis indicates the existence of
different information content even though it is not significant. In addition,
the test of average difference on Trading Volume Activity (TVA) shows that the
difference in the average trading volume activity before and after the
announcement issued by Bank Indonesia is statistically insignificant.
Penulis: Lidya Monica
Kode Jurnal: jpakuntansidd151122
