Reaksi saham perbankan terhadap penurunan BI rate April 2016 dan implikasinya terhadap strategi investasi: pengujian terhadap hipotesis pasar efisien

Triyaryati N, Kusumadewi NMW

Abstract


Stagnation of BI Rate during year 2015 on 7.5% level, causing a profit growth deceleration and stock price compulsion in banking sector. BI rate and BI 7-Day Repo Rate policy announcement on April 21st 2016 is a new relevant information for banking sector in Indonesia. Because both are as an interest rate reference for determining deposit and landing interest rate, which directly related to banking sector profit and expenses.

This study verify an abnormal return existence during the announcement, in order to observe the market ability to directly absorb the relevant information and reflected in the stock price of the banking sector. The procedures which run in this study is also to test the market efficiency theory in the semi strong form.

This study indicate that during the observation period there is no existence of abnormal return, which is show that the market are directly absorb the new relevant information and reflected it in the stock prices. Thus the market indicate as semi strong efficient.

Investor decision making implication refer to this study result is there will not be an optimal return for them if they applied an active investment strategy during this period.

So, in this semi strong market efficiency situation, it is better for the investor not to apply the active investment strategy.

Keywords


BI rate, semi strong market efficiency, investment strategy

Full Text:

PDF

References


Beaver,W.H. (2002) Perspective on recent capital market research, The Accounting Review, 77 (2), pp.453-474

Eduardus Tandelilin. 2009. Portofolio dan Investasi:Teori dan AplikasiI. Edisi: satu,Yogyakarta: Kanisius.

Fama, Eugene F. (1970). Efficient Capital Market: a review of theory and empirical work.Journal of Finance, 25(2):383-417.

, (1991). Efficient Capital Market:II.Journal of Finance, 46(4):1575-1617.

Foster,G. 1986. Financial Statement Analysis. 2nd Edition.Prentice Hall Englewood Cliffs. NewJersey.

Gumanti Ari T. dan Utami Sri E.(2002) Bentuk Pasar Efisien dan Pengujiannya. Jurnal Ekonomi Akuntansi, Fakultas Ekonomi-Universitas Kristen Petra.

Hanafi, M. (1997) Informasi laporan keuangan:studi kasus pada emiten BEJ. KELOLA.No.16-75-100.

Hartono,J, 2011. Teori Portofolio dan Investasi. Edisi: Delapan. Yogyakarta: BPFE.

Husnan Suad. 2005. Dasar-dasar teori portofolio dan Analisis Sekuritas. Edisi Empat.Yogyakarta : UPP AMP YKPN.

Jones, Charles P. (2014). Investment: Principal and concept. Jhon Wiley ans Son, Singapore 12th Edition.

Karyadi, Hari (2012). Hipotesisi Pasar Efisien: Konsep, Anomali, dan riset Keperilakuan. Proceeeding dipublikasikan.

Khotahri,S.P. (2001) Capital market research in accounting. Journal of Accounting and Economics,31, hal 105-231.

Rhomanda et al. (2014). Pengaruh Kurs Rupiah, Inflasi dan BI rate terhadap Harga Saham: Studi pada Indeks Sektoral di BEI. Jurnal Administrasi Bisnis,Vol.13,No.1,Hal.1-10.

Samuelson, W.F. and SG, Mark (2003). Managerial Economics.4th edition, New York:Jhon Wiley And Son,Inc.

Scoot, W.R.2000. Financial Accounting Theory.2nd Edition, Prentice Hall International, Inc. Sudirman, Surya (2010).

bei.co.id bi.go.id




DOI: https://doi.org/10.26486/jpsb.v6i1:Februari.417

Article Metrics

Abstract view : 98 times
PDF - 110 times

Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 TRIYARYATI N, KUSUMADEWI NMW

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

Jurnal Perilaku dan Strategi Bisnis

Indexing by