ANALISIS REAKSI PASAR TERHADAP PERUBAHANRNSATUAN PERDAGANGAN SAHAMRNPADA INDEKS LQRN45RNDI BURSA EFEK INDONESIA

ANALISIS REAKSI PASAR TERHADAP PERUBAHANRNSATUAN PERDAGANGAN SAHAMRNPADA INDEKS LQRN45RNDI BURSA EFEK INDONESIA

ABSTRAKPenelitian ini merupakan studi peristiwa yang bertujuan untuk menemukan buktiempiris ada atau tidaknya reaksi pasar modal Indonesia terhadap perubahansatuan perdagangan saham tanggal 6 Januari 2014diBursaEfek Indonesia,dengan menggunakanindikatorabnormal return,cumulative abnormal returndantrading volume activity. Sampel penelitian ini adalah saham-saham yang termasukdalam Indeks LQ 45 di Bursa Efek Indonesia, dan data yang digunakan adalahdata sekunder berupa harga penutupan hariansaham, volume perdagangan sahamharian, dan jumlah saham beredar 15 hari sebelum dan 15 hari sesudah perubahansatuan perdagangan saham. Uji statistik yang digunakan untuk menguji hipotesisadalah uji beda berpasangan (paired sample t-test).Ditemukanbahwa tidakterdapat perbedaanabnormal returndancumulative abnormal returnsecarasignifikan sebelum dan sesudah perubahan satuan perdagangan saham. Sedangkantrading volume activitymenunjukkan bahwaterdapat perbedaan yang signifikansebelum dan sesudahperubahan satuan perdagangan sahampada 15 hari sebelumdan 15 hari sesudah perubahan satuan perdagangan saham.Kata Kunci:Event Study,AbnormalReturn, CAR, TVAxABSTRACTThis research is the study of events that aims to find empirical evidence or noreaction to changes in Indonesia capital market unit of stock trading on January6, 2014 in the Indonesia stock exchange, by using indicators of abnormal return,cumulative abnormal return and trading volume of activity. The sample of thisresearch is the stocks included in the index of the LQ 45 in Indonesia stockexchange, and data used are secondary data in the form of the daily closing priceof the stock, the stock's daily trading volume, and the number of sharesoutstanding 15 days prior to and 15 days after the change of the unit of stocktrading. Statistical tests were used to test the hypothesis is paired difference test(paired sample t-test).It was found that there wasno difference in abnormalreturn and cumulative abnormal return significantly before and after the changeof the unit of stock trading. While the trading volume of activity indicates thatthere is a significant difference before and after the change of the unit of tradingof shares in the 15 days prior to and 15 days after the change of the unit of stocktrading.Keywords: Event Study,Abnormal Return, CAR, TVA

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