PENGARUH PENGUMUMAN KENAIKAN GAS LPG 12KG TAHUN 2015 TERHADAP ABNORMAL RETURN, TRADING VOLUME ACTIVITY, DAN SECURITY RETURN VARIABILITY (EVENT STUDY PADA PERUSAHAAN-PERUSAHAAN SUB SEKTOR MAKANAN DAN MINUMAN YANG TERCATAT DI INDEKS SAHAM SYARIAH INDONESIA (ISSI)

ANINDITYA HANA KUSPA, NIM. 10390068 (2017) PENGARUH PENGUMUMAN KENAIKAN GAS LPG 12KG TAHUN 2015 TERHADAP ABNORMAL RETURN, TRADING VOLUME ACTIVITY, DAN SECURITY RETURN VARIABILITY (EVENT STUDY PADA PERUSAHAAN-PERUSAHAAN SUB SEKTOR MAKANAN DAN MINUMAN YANG TERCATAT DI INDEKS SAHAM SYARIAH INDONESIA (ISSI). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to analyze and explain the effect of the rise in prices of LPG 12 kg against the abnormal return, trading volume activity and security return variability in companies sub-sector of food and beverages are included in the group of Indonesian Sharia Stock Index (ISSI). Generally 12 kg LPG price hike will affect the performance of listed companies sub-sector of food and beverages that will impact on investor analysis projected in influencing the prices of securities in the capital markets. The method used in this research is the study of events (event study) that will analyze changes in the movement of abnormal return, trading volume activity and security return variability around the announcement of the price increase LPG 12 kg. Hypothesis in this study is the change in the average abnormal return, trading volume activity and return security share significant variability around the announcement of the price increase LPG 12 kg. This research tests using different test average by t-statistic. in this study, the authors use the observation period of 5 days prior to the announcement of the price increase LPG 12 kg and 5 days after the announcement of the price increase LPG 12 kg with a total sample of 11 companies that do corporate action around the period of observation. The results of the study on the first hypothesis indicate a change in average abnormal return is significantly both before and after the announcement of the price increase LPG 12 kg at t-1 and t+3. This is due to information asymmetry among investors and supporting the efficient market hypothesis and a half strong. the results of testing on both hypotheses suggests that the average trading volume activity at about the announcement of the price increase 12 kg LPG contains information that is a direct response by investors, namely at t-1 and t+1 to t+5. Then in the third hypothesis results show that the average security return variability is also significantly around the announcement of the price increase LPG 12 kg.

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