ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY TERHADAP PENGUMUMAN UNUSUAL MARKET ACTIVITY (Studi pada Perusahaan yang Terdaftar dalam Pengumuman Unusual Market Activity di BEI Tahun 2015-2017)

Dewi Cahya Wulan, Siti Ragil Handayani, Ferina Nurlaily

Abstract


In stock trading in capital market, information is the most important thing for investors who will be doing activities in capital market. Information can be obtained from some parties, which is Unusual Market Activity(UMA) announcement. UMA announcement is the announcement of any trading activity or price movement of an unusual effect on a certain period of time on a stock exchange which, in the opinion of the stock exchange, could potentially disrupt the implementation of regular, fair and efficient securities trading.More UMA announcement in capital market, shows uncertainty in capital market. The purpose of this study was to determine whether there is a difference of Abnormal Return and Trading Volume Activity before and after the UMA announcement. The purpose of this study also to determine whether there is a significant market reaction abnormal return around UMA announcement.The research is using quantitative methods. The population in this research are companies who listed in UMA announcement year 2015-2017 on Indonesian Stock Exchange. Sample selection technique in this research is purposive sampling, so that selected 62 company as sample. Data analysis in this study is normality of data, different test Paired Sample T-Test, Wilcoxon Signed Rank Test and One Sample T-Test.

Kеywords: Unusual Market Activity (UMA) Announcement, Abnormal Return (AR), Trading Volume Activity (TVA), One Sample T-Test.

АBSTRАK

Pada perdagangan saham di pasar modal, informasi mempunyai peranan penting terutama bagi para investor yang akan melakukan aktivitas di pasar modal. Informasi dapat diperoleh dari berbagai pihak, salah satunya adalah pengumuman Unusual Market Activity (UMA). Pengumuman UMA merupakan pengumuman adanya aktivitas perdagangan dan atau pergerakan harga suatu efek yang tidak biasa pada suatu kurun waktu tertentu di bursa efek yang menurut penilaian bursa dapat berpotensi mengganggu terselenggaranya perdagangan efek yang teratur, wajar dan efisien.Kondisi semakin banyaknya pengumuman UMA ini mencerminkan ketidakpastian pada pasar modal di Indonesia. Penelitian ini memiliki tujuan untuk mengetahui apakah ada perbedaan Abnormal Return (AR) dan Trading Volume Activity (TVA) sebelum dan sesudah pengumuman Unusual Market Activity (UMA). Penelitian ini juga memiliki tujuan untuk mengetahui apakah terdapat reaksi signifikan AR disekitar tanggal pengumuman UMA. Penelitian ini merupakan penelitian kuantitatif. Populasi yang digunakan pada penelitian ini adalah perusahaan-perusahaan yang terdaftar dalam pengumuman UMA di Bursa Efek Indonesia pada tahun 2015-2017. Teknik pemilihan sampel pada penelitian ini adalah purposive sampling, sehingga terpilih 62 perusahaan sebagai sampel. Analisis data menggunakan uji normalitas kemudian menggunakan uji beda Paired Sample T-Test, Wilcoxon Signed Rank Testdan One Sample T-Test.

Kаtа Kunci: Pengumuman Unusual Market Activity(UMA), Abnormal Return (AR), Trading Volume Activity (TVA), One Sample T-Test.

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