Main Article Content
Abstract
Abstract: This research is conducted on the basis of observations of events that occur in the country that can prevent security stability. One of the effects of these events is a market reaction. The purpose of this study was to determine whether the capital market reacted to the suicide bombings that occurred in Surabaya, by observing the Abnormal Return behavior obtained by investors and the difference in Avarage Abnormal Return on the Indonesia Stock Exchange (BEI) before and after the bombing. This research was conducted using the event study method with the Market Adjusted Model approach. The sample used is a company whose shares have been listed and included in the calculation of the LQ-45 index. Statistical test of Abnormal Return, Avarage Abnormal Return using paired sample t -test. The results of the first hypothesis testing are accepted, because there is a significant abnormal return for investors due to the explosion of Suicide Bombers in Surabaya. While the results of testing the second hypothesis were rejected, because there was no significant difference obtained by investors between Avarage Abnormal Return before and after the suicide bombing in Surabaya
Keywords: Abnormal returns, Event Studies, Bombs in Surabaya, LQ-45, Market Adjusted Models, Market Reactions
Abstrak: Penelitian ini dilukan atas dasar pengamatan terhadap peristiwa-peristiwa yang terjadi di dalam negeri yang dapat menggaggu stabilitas keamanan. Salah satu dampak dari peristiwa (event) tersebut yaitu terjadi reaksi pasar. Tujuan penelitian ini adalah untuk mengetahui apakah pasar modal bereaksi terhadap peristiwa Bom Bunuh diri yang terjadi di Surabaya, dengan mengamati perilaku Abnormal Return yang diperoleh oleh investor serta perbedaan Avarage Abnormal Return di Bursa Efek Indonesia (BEI) sebelum dan sesudah peristiwa Bom tersebut. Penelitian ini dilakukan dengan metode event study dengan pendekatan Market Adjusted Model. Sampel yang digunakan adalah perusahaan yang sahamnya telah tercatat dan masuk dalam perhitungan indeks LQ-45. Uji statistik terhadap Abnormal Return , Avarage Abnormal Return menggunakan Uji t. Hasil pengujian hipotesis pertama diterima, karena terdapat Abnormal Return signifikan bagi investor yang diakibatkan peristiwa peledakan Bom Bunuh Diri di Surabaya. Sedangkan hasil pengujian hipotesis kedua ditolak, karena tidak ada perbedaan signifikan yang diperoleh investor antara Avarage Abnormal Return sebelum dan sesudah peristiwa Bom bunuh diri di Surabaya
Kata kunci : Abnormal return, Event Study , Bom di Surabaya, LQ-45, Market Adjusted Model, Reaksi Pasar