Analisis efisiensi pasar saham indonesia berdasarkan abnormal return dan trading volume : evaluasi kebijakan tapering

Investment in stock market heavily depend on companies financial report and macroeconomic factors. The macroeconomic factors can be originated from domestic or foreign. One of foreign factor is news about monetary policy Federal Reserves as an US Central Bank had issued Quantitative Easing (QE) policy to save their economy after Subprime Mortgage crisis. This policy indirectly made a large capital inflow to EMEs (Emerging Market Economies) countries. But, in 22 May 2013, The Fed Chairman Ben Bernanke announced the possibility in tightening QE policy thus lowering risk tolerance on investment in EMEs. This announcement better known as Tapering-off. The same year, there is decrease of return in Indonesian Market Index (IHSG). The decrease could be caused by this announcement. Based on that, then this research done to find out the influences of tapering announcement towards return and trading volume in Indonesian Stock Market (BEI). The result could give us information about Indonesian market efficiency based on Efficient Market. Event study method used to answer the purpose. This research is using quantitative descriptive with econometric model and secondary data from Yahoo and Google Finance. Data we processed are company daily stock prices during event window and estimation window. Companies that became sample are 27 companies from 9 sectors in IDX. Companies chosen are companies that had the largest capitalization and didn’t have compounding effect. The results of the research are processed using market model from event study methodology. The results are there is abnormal return around event date. Return difference between before and after event exists in Consumer Goods sector, also the difference in trading volume between before and after event exists in Finance and Agriculture sectors. The difference test done using paired sample t test. These show that Indonesian Stock Market is inefficient at semi strong level