Reaksi Pasar Modal Indonesia Terhadap Krisis Subprime Mortgage di Amerika Serikat  

Oleh:

Gumanti, Tatang A. ; Palupi, Karvina W

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: TEKUN : Jurnal Telaah Akuntansi dan Bisnis vol. 1 no. 2 (Mar. 2010), page 19-36.
Topik: Macro economic event; Abnormal return; trading Volume activity; Event study; Subprime mortgage.

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: TT39 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study examines the effect of the world macro economic event on stock prices in other country. The selected event date is the Subprime mortgage crisis in the United States that caused the stock price of one of the most prominent mortgage lender firm, the Countrywide Financial, dropped 13% that was believed to be the starting point for Subprime mortgage fiasco. Twenty two firms of LQ45 at the Indonesia Stock Market from February 2007-January 2008 were examined. The event study approach was employed to test the hypotheses of abnormal return and trading volume activities differences surrounding the event covering 21 trading days. A t-test one sample and two samples were employed to test the proposed hypotheses of significant abnormal return on days surrounding the event and differences on abnormal returns and trading volume activity before and after the event. The results show that there are abnormal returns in the period surrounding the event. Average abnormal return prior to the event is statistically and significantly lower than after the event. Other finding reveals that there is no statistical difference on the trading volume activities between pre and post event. The findings reported in this study lead to the assertion that Indonesian stock exchange is not efficient in a semi strong form.

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