Pengaruh kenaikan harga bahan bakar minyak (BBM) terhadap expected return saham: Event study pada saham LQ-45 yang terdaftar di bursa efek Indonesia periode 2012-2013

Agustini, Nurhidayati (2014) Pengaruh kenaikan harga bahan bakar minyak (BBM) terhadap expected return saham: Event study pada saham LQ-45 yang terdaftar di bursa efek Indonesia periode 2012-2013. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.

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Abstract

INDONESIA:

Pada tanggal 21 Juni 2013 pemerintah mengumumkan kenaikan harga Bahan Bakar Minyak (BBM) subsidi untuk premium dan solar yang akan diberlakukan pada tanggal 22 Juni 2013. Dampak dari perubahan harga minyak ini diperkirakan akan mempengaruhi perubahan-perubahan biaya operasional yang mengakibatkan perubahan tingkat keuntungan kegiatan investasi.

Jenis penelitian ini menggunakan event study dengan pendekatan penelitian kuantitatif. Dengan menggunakan analisis paired sample t-test dan autoregressive distributed lag untuk menguji apakah terdapat pengaruh terhadap expected return saham LQ-45 pada saat sebelum dan sesudah kenaikan harga BBM.

Hasil penelitian ini menyatakan bahwa terdapat perbedaan yang signifikan antara harga saham sektor LQ-45 pada saat sebelum dan sesudah kenaikan harga BBM. Hal ini dibuktikan dengan nilai rata-rata harga saham LQ-45 pada hari-hari setelah kenaikan BBM lebih tinggi dibandingkan pada sebelum kenaikan harga BBM. Berdasarkan analisis ARDL, perbedaan harga saham tersebut dapat terlihat pada hari keempat setelah kenaikan harga BBM. Dalam hal ini berarti bahwa investor memberikan respon negatif terhadap kenaikan harga BBM.

ENGLISH:

On June 21, 2013 the Government announced the price increase of fuel oil (BBM) subsidies for diesel and premium which will be enacted on June 22, 2013. The impact of changes in the price of oil is expected to affect changes in operating costs resulting in changes in the level of profitability of investment activity.

The kind of research is using the event study by approach research quantitative. By using Paired sample analysis using t-test and autoregressive lag distributed to test whether there is influence against expected return stock LQ-45 in times before and after the increase in BBM prices.

The results of this research suggests that there is a significant difference between the share prices of sectors of the LQ-45 at the time before and after the increase in BBM prices. This is evidenced by the average value of LQ-45 stock price in the days after the BBM price hike higher than before the price increase of BBM. Based on analysis of the ARDL. the stock price differences can be seen on the fourth day after the hike in fuel prices. In this case means that investors
respond negatively to rising BBM prices.

Item Type: Thesis (Undergraduate)
Supervisor: Sulhan, Muhammad
Keywords: Kenaikan Harga BBM; Harga Saham LQ-45; Event Study; The Increase in Fuel Oil Prices; Stock Prices LQ-45
Subjects: 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Departement: Fakultas Ekonomi > Jurusan Manajemen
Location: 150205
Depositing User: Ratih Novitasari
Date Deposited: 08 Sep 2015 03:41
Last Modified: 08 Sep 2015 03:41
URI: http://etheses.uin-malang.ac.id/id/eprint/1625

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