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Stock Return Essay

2962 words - 12 pages

Oleh : Dwi Susilo, Teguh Djiwanto, Jaryono
This research was event study that was conducted by observing the
share return behavior for 11 observation days that were 5 days before the
publication date, 1 day of the publication and 5 days after the financial
report publication. The data used in this research was secondary data from
JSE, with the samples of 53 manufacturer companies taken with the
purposive sampling method. The data used in this research was the daily
price of shares on closing and combination share price index (IHSG). The
statistic method used was Kolmogorof Smirnov to ...view middle of the document...

Dalam pasar modal tersedia
berbagai “financial assets” yang menawarkan tingkat keuntungan dan risiko
yang berbeda. Para pemilik modal atau investor tersebut bebas memilih
jenis financial assets yang diinginkannya, tentu saja dengan harapan bahwa
investasi tersebut mampu memberikan keuntungan yang optimal kepada
mereka. Bagi investor yang tidak mempunyai kesempatan investasi dalam
riil assets dan mempunyai kelebihan dana mereka dapat melakukan investasi
dalam financial assets, sebaliknya bagi investor yang mempunyai
kesempatan investasi dalam riil assets tapi tidak mempunyai dana mereka
dapat memperoleh dana dengan emisi saham melalui pasar modal.
Pengertian pasar modal menurut Undang-undang Nomor 8 Tahun
1995 adalah Bursa efek yang merupakan pihak yang menyelenggarakan dan
menyediakan sistem atau sarana untuk mempertemukan penawaran jual dan
beli efek pihak-pihak lain dengan tujuan memperdagangkan efek diantara
mereka. Pasar modal di Indonesia sejak tahun 1997 mengalami
perkembangan yang cukup pesat, hal ini dapat dilihat dari 56 emiten pada
tahun 1989 menjadi 288 pada tahun 1999 (Viktor Purba, 2000). Dari
peningkatan tersebut tampak bahwa pasar modal dapat dijadikan sebagai
alternatif penghimpun dan penyalur dana yang cukup menarik.
Laporan keuangan adalah salah satu sumber potensial yang lazim
digunakan oleh para investor sebagai dasar pengambilan keputusan
penanaman modal, adanya informasi yang dipublikasikan akan merubah
keyakinan para investor hal ini dapat dilihat dari reaksi pasar, harga saham,
dan reaksi tingkat keuntungan, laporan keuangan dikatakan mempunyai
kandungan informasi apabila dengan dipublikasikannya laporan keuangan
akan menyebabkan para investor bereaksi untuk melakukan penjualan atau
pembelian saham, selanjutnya reaksi tersebut akan tercermin dalam
perubahan return saham diseputar tanggal publikasi laporan keuangan.
Masalah yang diteliti adalah reaksi pasar yang ditimbulkan oleh
adanya publikasi laporan keuangan berupa gejolak return saham, jadi dalam
penelitian ini akan diamati reaksi pasar, yaitu adanya perubahan return

98 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

saham disekitar tanggal publikasi laporan keuangan dan selanjutnya akan
dianalisis ada tidaknya abnormal return disekitar tanggal publikasi laporan
keuangan, dengan demikian masalah yang akan diteliti selanjutnya dapat
dirumuskan dalam bentuk pertanyaan sebagai berikut :
1. Apakah perilaku return saham mengalami kenaikan atau penurunan
sesudah publikasikannya laporan keuangan
2. Apakah terdapat perbedaan secara signifikan atas return saham antara
sebelum dan sesudah publikasi laporan keuangan”.
Metode Penelitian
Definisi Operasional Variabel
1. Harga saham adalah harga saham harian pada closing price dalam
periode pengamatan, yaitu lima hari sebelum publikasi,satu hari saat
publikasi dan lima hari setelah publikasi.
2. Return saham : adalah merupakan pendapatan perlembar saham yang
dinikmati oleh investor atas...

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