PENGARUH PEROMBAKAN (RESHUFFLE) KABINET KERJA 12 AGUSTUS 2015 TERHADAP TRADING VOLUME ACTIVITY DAN ABNORMAL RETURN (EVENT STUDY PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA)

Abstract

Pasar modal tidak terlepas dari berbagai pengaruh lingkungan baik itulingkungan ekonomi dan non ekonomi. Reshuffle kabinet adalah bagian dari peristiwa non ekonomi yang dapat mempengaruhi aktivitas pasar modal.Informasi mengenai reshuffle kabinet akan dianalisis oleh pelaku pasar, kemudian pasar akan bereaksi atas peristiwa yang ada.Reaksi pasar terhadap suatu peristiwa dapat diukur dengan melihat adanya perubahan pada trading volume activity dan perubahan abnormal return. Penelitian ini bertujuan untuk mengetahui perbedaan rata-rata trading volume activity dan rata-rata abnormal return sebelum dan sesudah reshuffle kabinet kerja 12 Agustus 2015. Penelitian dilakukan pada seluruh perusahaan yang terdaftar di Bursa Efek Indonesia yang terbagi ke dalam sembilan sektor yang ditetapkan oleh Jakarta Stock Exchange Industrial Classification. Purposive sampling digunakan sebagai metode penentuan sampel penelitian. Teknik analisis data yang digunakan adalah teknik event study dengan masa pengamatan penelitian 10 hari yaitu pada tanggal 5 Agustus sampai dengan 20 Agustus 2015 dan terbagi ke dalam 5 hari sebelum dan 5 hari sesudah reshuffle kabinet. Metode dokumentasi digunakan sebagai metode pengumpulan data. Data yang digunakan adalah data sekunder yang bersifat kuantitatif yaitu, data harga saham, data jumlah saham yang diperdagangkan,data jumlah saham beredar, dan data Indeks Harga Saham Gabungan. Berdasarkan uji statistik yang sudah dilakukan, diperoleh hasil penelitian yang menunjukkan bahwa (1) terdapat perbedaan rata-rata trading volume activity sebelum dan sesudah reshuffle kabinet kerja 12 Agustus 2015, (2) tidak terdapat perbedaan rata-rata abnormal return sebelum dan sesudah reshuffle kabinet kerja 12 Agustus 2015.
Kata Kunci : Reshuffle kabinet, trading volume activity, abnormal return

Capital market could be separated from so many different environment effects, both economi as well as non-economic effects. Cabinet Reshuffle is a part of non-economic phenomenon wich could affect the capital market. The information of cabinet Reshuffle would be analyzed by market players, then the market would react to the existing phenomenon. The market reaction towards the incidents could be measured by looking at the shifting of the trading volume activity and changes of the abnormal return. This study was conducted in order to find out the average differences between the trading volume activity and the average of abnormal return before and after the working cabinet reshuffle on the 12th Agust 2015. The study was conducted at alln the companies listed in the Indonesian Stock Exchange which is divide on nine different sectors determined by the Jakarta Stock Exchange Industrial Classification. The sample were selected based on Purposive sampling. The data was analyzed by using event study technique with observing period of ten days starting from the 5th August to 20 August 2015 and divided into 5 days befor and 5 days after the reshuffle. The data of quantitative forms such as the stock price, the total number of shares traded, number of shares outstanding, and data of composite stock price, share price index, were collected from the secondary sources by using documentation. According to the statistical testing, the results indicated that (1) there was a different average of trading volume activity before and after the cabinet reshuffle on the 12 August 2015, (2) there was no different average of abnormal return before and after the cabinet reshuffle on the 12 August 2015.
keyword : Cabinet Reshuffle, trading volume activity, abnormal return