Firdayanti, Nelly (2023) Dampak Pengumuman Kebijakan Harga Bahan Bakar Minyak (BBM) terhadap Abnormal Return, Trading Volume Activity, dan Kapitalisasi Pasar pada Perusahaan Manufaktur di BEI. Undergraduate thesis, Fakultas Ekonomi dan Bisnis Universitas Merdeka Malang.

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Abstract

This study aims to determine the reaction of the Indonesian capital market and its impact on the announcement of the fuel price increase on September 3, 2022. Fuel Oil (BBM) is a commodity whose price determination is held by the state. This research is a type of quantitative research using the evernt study approach. The samples used in this study are 10 companies with the best financial reports listed on the Indonesia Stock Exchange using the criteria of actively trading shares during the event period determined by sampling. Abnormal return, trading volume activity and market capitalization are normal. The normality test uses the Shapiro-Wilk Test method at a significance level of 5% because the sample used is less than 100. This test was conducted with the help of IBM SPSS 25 software. Hypothesis testing of abnormal returns, trading volume activity and market capitalization using paired samples t-test and trading volume activity.
The results of hypothesis testing show that: (1) there is no significant difference in the average abnormal return between the period before and after the announcement of the fuel price increase on September,3 2022, (2) there is no significant difference in the average trading volume activity between before and after the announcement of the fuel price increase on September, 3 2022, (3) there is no significant difference in the average market capitalization between before and after the announcement of the fuel price increase on September,3 2022. This indicates that the market did not react during the event period. In other words, the announcement of the fuel price increase was not able to influence investors to take excessive action before and after the fuel price increase event because various news published by the media had been analyzed by investors before taking investment action.

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