Carissa Cindy F.
Universitas Airlangga, Indonesia
Noorlailie Soewarno
Universitas Airlangga, Indonesia
DOI: https://doi.org/10.19184/jauj.v15i2.6882
ABSTRACT
This research aims to determine the reaction of stock prices in Indonesia stock ecxchange when event of terror bombs. This research use event study where observation to window period of abnormal return during 5 days before, event date, and 5 days after the event. The data was collected from the Indonesia stock exchange by using daily closing price of stock price and JCI (Jakarta Composite Index). The population are event of terror boms period 2002-2017. The sampling technique in this research used purposive sampling with the criterias are the largest number of victims and the availability of data.The statistic instrument test has been done by using paired sample t-test and SPSS 24rd program. The results show that there is the effect of bomb terrorism on stock price reaction in Indonesia stock exchange indicated by the differences of abnormal return. The influential incident that occurred during the bombing of Indonesia's history in Bomb Bali I at 2002, with the passage of time and the number of bombing events, investors have been sensitive to the occurrence of bomb explosion events against stock prices in the Indonesian capital market
Keywords: Event study, terror boms, abnormal return, Indonesia stock exchange
ABSTRAK
Penelitian ini bertujuan untuk menentukan reaksi harga saham di Bursa Efek Indonesia (BEI) terhadap peristiwa bom teror. Penelitian ini menggunakan metode studi peristiwa, di mana pengamatan dilakukan pada periode jendela pengembalian abnormal selama 5 hari sebelum, tanggal peristiwa, dan 5 hari setelah peristiwa. Data dikumpulkan dari Bursa Efek Indonesia menggunakan harga penutupan harian harga saham dan JCI (Jakarta Composite Index). Populasi penelitian ini adalah peristiwa bom teror pada periode 2002-2017. Teknik sampling yang digunakan dalam penelitian ini adalah purposive sampling dengan kriteria jumlah korban terbanyak dan ketersediaan data. Uji statistik dilakukan menggunakan paired sample t-test dan program SPSS versi 24. Hasil penelitian menunjukkan adanya pengaruh teror bom terhadap reaksi harga saham di Bursa Efek Indonesia, yang ditandai oleh perbedaan return abnormal. Peristiwa yang berpengaruh terjadi selama bom Bali I pada tahun 2002, seiring berjalannya waktu dan jumlah peristiwa bom, investor menjadi sensitif terhadap terjadinya peristiwa ledakan bom terhadap harga saham di pasar modal Indonesia.
Keywords: Studi peristiwa, teror bom, pengembalian abnormal, Bursa Efek Indonesia
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Published
31-12-2017
Issue
Vol. 15 No. 2 (2017): Jurnal Akuntansi Universitas Jember
Pages
20-35
License
Copyright (c) 2017 Jurnal Akuntansi Universitas Jember
How to Cite
Carissa Cindy, F., & Soewarno, N. (2017). REAKSI HARGA SAHAM DI PASAR MODAL INDONESIA TERHADAP PERISTIWA TEROR BOM PERIODE 2002-2017. Jurnal Akuntansi Universitas Jember–Vol, 15(2).
https://doi.org/10.19184/jauj.v15i2.6882
