Detail Karya Ilmiah

  • DAMPAK MELEMAHNYA BURSA SAHAM GLOBAL TERHADAP PASAR MODAL INDONESIA (Studi pada Saham Indeks Kompas-100)
    Penulis : Khoirul Anwar
    Dosen Pembimbing I : Anita Carolina, S.E., MBusAdv., Ak., QIA., CA
    Dosen Pembimbing II :Gita Arasy Harwida, S.E., MTax., Ak., QIA., CA., CFrA
    Abstraksi

    Tujuan penelitian ini adalah untuk menganalisis perbedaan rata-rata abnormal return dan trading volume activity saham sebelum dan sesudah peristiwa melemahnya bursa saham global pada saham indeks Kompas-100. Metode penentuan sampel dalam penelitian ini menggunakan purposive sampling dengan jumlah sampel sebanyak 100. Penelitian ini menggunakan data sekunder yang diperoleh dari website resmi Bursa Efek Indonesia dan Yahoo Finance. Teknik analisis yang digunakan adalah Wilcoxon Signed Ranks Test dengan periode jendela selama 5 hari sebelum dan 5 hari setelah peristiwa. Hasil penelitian menunjukkan bahwa (1) berdasarkan uji statistik terhadap rata-rata abnormal return selama periode peristiwa, bahwa terdapat perbedaan rata-rata abnormal return antara sebelum dan sesudah peristiwa melemahnya bursa saham global. (2) Berdasarkan uji statistik terhadap rata-rata trading volume activity selama periode peristiwa , bahwa terdapat perbedaan rata-rata tranding volume activity antara sebelum dan sesudah peristiwa melemahnya bursa saham global. Kata kunci : abnormal return, trading volume activity, melemahnya bursa saham global.

    Abstraction

    The purpose of this study was to analyze the differences in the average abnormal return and trading activity volume of shares before and after the weakening of the global stock market in the member of stock index Kompas-100. The sample determination method in this study uses purposive sampling with a total sample of 100. This study uses secondary data obtained from the official website of the Indonesia Stock Exchange and Yahoo Finance. The analysis technique used is the Wilcoxon Signed Ranks Test with window periods for 5 days before and 5 days after the event. The results show that (1) based on statistical tests on the average abnormal return during the period of the event, that there is a difference in the average abnormal return between before and after the weakening of the global stock market. (2) Based on statistical tests on the average trading volume activity during the period of events, that there is a difference in the average tranding volume activity between before and after the weakening of the global stock market. Keyword: abnormal return, trading volume activity, the weakening of the global stock market

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