DAMPAK LEDAKAN BOM SARINAH TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM PADA JAKARTA ISLAMIC INDEX

MUHAMMAD NA’IM, NIM. 10390101 (2017) DAMPAK LEDAKAN BOM SARINAH TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM PADA JAKARTA ISLAMIC INDEX. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

We have seen how this country must have some major events that are quite influential on the market sentiment reflected in shareholder responses in the stock market. One of the events that attracted attention was the bombing at the Jakarta embassy mall on January 14, 2016. At that time panicked reaction was sold by investors who made the IHSG closed 0.53% draw from 24 points to the level of 4,513.18. Even those events there are some whose shares resulted in the IHSG dragged into the red zone. The purpose of this research is to know and explain the difference of abnormal return and trading volume activity before and last date of January 14, 2016. This research uses observation period 5 days before announcement of bombsarinah incident and 5 days after announcement of bomb sarinah incident. The method used in this research is event study which will experience the movement of abnormal return and trading volume activity between before and after announcement of bomb sarinah incident in Indonesia Stock Exchange. To test the existence of abnormal return difference, and trading volume activity between before and after announcement of bomb incidence of sarinah was done by test of difference of two mean using paired samples t-Test and man whitney. The hypothesis in this study there is a significant difference between abnormal return and trading volume activity before and after the date of announcement of bomb sarinah incident. The result of this research has significant greater than 0,05 that is 0,993, which stated on abnormal return not contained information to investor with the announcement of bomb sarinah incident. The second test result also explains that there is no significant difference in average trading volume activity before and after event with significant greater than 0,05 0,000.

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