Reaksi Pasar Terhadap Pengumuman Merger: Studi Empiris Pada Perusahaan Yang Terdaftar Di Bei

Sepliantini, Beti (2015) Reaksi Pasar Terhadap Pengumuman Merger: Studi Empiris Pada Perusahaan Yang Terdaftar Di Bei. Skripsi thesis, Universitas Tanjungpura.

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Abstract

Tujuan penelitian ini adalah untuk mengetahui reaksi pasar modal terhadap pengumuman merger studi empiris pada perusahaaan yang terdaftar di BEI periode 2004-2014 dengan melihat bagaimana abnormal return disekita rpengumuman, membandingkan rata-rata abnormal return dan rata-rata tradingtolume activity sebelum dan sesudah penguman merger. Jenis penelitian ini adalah studi kasus dan komparatif. Penelitian ini merupakan event study. Populasi dalam penelitian ini yaitu 39 perusahaan yang melakukan pengumuman merger periode 2004-2014 dengan jumlah sampel sebanyak 30 perusahaan sesuai dengan teknik pengambilan sampel yaitu teknik purposive sampling. Periode yang digunakan yaitu 21 hari, 10 hari sebelum dan 10 hari sesudah hari pengumuman.Hasil dari penelitian ini menunjukan bahwa nilai probabilitas atau nilai signifikansi dari AR, AAR dan TVA lebih besar dari tingkat signifikansi yangdigunakan. Abnormal return disekitar pengumuman tidak signifikan baik itu sebelum pengumuman selama t-10 sampai t-1 maupun sesudah pengumuman yaitu t+1 sampai t+10 serta pada saat pengumuman t0. Rata-rata abnormal return(AAR) 10 hari sebelum dan 10 hari sesudah pengumuman sebesar 0,899 > 0,05maka tidak terdapat perbedaan yang signifikan sebelum dan sesudah pengumuman merger. Rata-rata TVA 10 hari sebelum dan 10 hari sesudah pengumuman sebesar0,600 > 0,05 maka tidak terdapat perbedaan yang signifikan. Sehingga dapat disimpulkan bahwa rata-rata AR dan rata-rata TVA sebelum dan sesudah pengumuman merger tidak ada perbedaan yang signifikan. ABSTRACT The aim of the research was to reveal the reaction of the stock market onthe company to merger announcements. It was an empirical study on thecompanies listed on IDX (Indonesia Stock Exchange) in the period2004-2014 bylooking atthe abnormal return around the time of the announcement, comparingthe average abnormal return and the average trading volumeactivity before andafter the merger. This was a comparative research a case study. It was also anevent study. The population in this study included 39companies that announcedmerger in the period of 2004-2014 with a total sample of 30 companies selectedthrough a purposive sampling technique. The period of the research was 21 days,10 days before and 10 days after the announcement.The results of the research showed that the probability value orsignificance value of AR, and TVA was greater that the significance levelused. The abnorrnal around the time of the announcement was notsignificant either the announcement t-10 until t-1 or after theannouncement to t+10, and at the time of the announcement t+0. Theaverage abnormal return (AAR) 10 days before and 10 days after theannouncement was 0.899>0.05 meaninng there was no significant differencebefore and after the merger announcement. The average TVA 10 before and 10days after the announcement was 0.600>0.05 so there was no significantdifference. It can be concluded that the average AR and the average TVA beforeand after the announcement of the merger indicated that there was no significant difference.

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