Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018

I Kadek Rian Mahendra,Ni Ketut Rasmini

doi:10.24843/eja.2019.v27.i03.p16

Abstract

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. This research is an event study with an observation period of 7 exchange workdays, namely three days before (t-3), event date (t0), and three days after the event (t + 3). The sample is a company incorporated in the LQ45 Index for the period of August 2018 to January 2019. The method of determining the sample is a purposive sampling technique. The data analysis technique uses paired samples t-test and Wilcoxon signed rank test. The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018. This indicates that the event has information content. Keywords: Event study, abnormal return, trading volume activity

Highlights

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate Bank Indoneisa (BI) increase on August 15 2018 as measured by the abnormal return and trading volume activity
The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018
Tujuan pengujian dengan paired samples t-test dalam penelitian ini yaitu untuk memperlihatkan apakah terdapat average abnormal return dan average trading volume activity yang signifikan sebelum dan sesudah penetapan kebijakan kenaikan Bank Indoneisa (BI) 7-Day Reverse Repo Rate

Summary

Introduction

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. Reaksi pasar dari suatu peristiwa dapat diukur dengan menggunakan abnormal return dan trading volume activity. Studi peristiwa atau event study yang menunjukan perbandingan rata-rata abnormal return dan trading volume activity karena adanya kebijakan kenaikan suku bunga Bank Indonesia.

Objectives

Results

Conclusion