Reaksi harga saham terhadap publikasi laporan keuangan tahunan (Menggunakan Saham LQ 45 Periode 2015 -2016)
DOI:
https://doi.org/10.35384/jemp.v3i3.240Keywords:
Publikasi Laporan Keuangan Tahunan, abnormal returAbstract
Publikasi Laporan Keuangan Tahunan merupakan sarana informasi yang disajikan bagi investor untuk mengambil keputusan atas investasinya. Penelitian ini dirancang sebagai penelitian empiris yang dimak-sudkan untuk mengetahui reaksi pasar, yang dihasilkan dari publikasi laporan keuangan tahunan. Reaksi pasar ditunjukkan dalam bentuk abnormal return dan abnormal volume yang dihitung berdasarkan pen-dekatan pasar. Pemilihan sampel dilakukan melalui judgement sampling terhadap 43 saham yang aktif dan likuid diperdagangkan di Bursa Efek Indonesia pada tahun 2016, dengan data harian meliputi harga saham, IHSG, volume saham yang tercatat diperdagangkan. Metodologi penelitian yang digunakan adalah event study dengan estimasi periode 110 hari dan period 21 hari sekitar tanggal publikasi laporan keuangan inter-im. Penilaian hipotesis melalui statistik parametrik dan non-parametrik secara signifikan menunjukkan bahwa publikasi laporan keuangan interim mempengaruhi harga dan volume perdagangan saham. Penilaian tersebut juga menunjukkan bahwa Bursa Efek Indonesia memenuhi bentuk pasar efisien bentuk setengah kuat untuk tahun 2016.References
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