ANALISIS STUDI PERISTIWA PENGARUH KENAIKAN HARGA BAHAN BAKAR MINYAK AKIBAT KEBIJAKAN PEMERINTAH MENGURANGI SUBSIDI BBM TERHADAP HARGA SAHAM

This research is an event study that analyze whether there is negative abnormal return due to the event of rising prices of fuel oil (BBM) which took place on June 22, 2013. The data used in this study is the daily closing price and the stock price index (CSPI). Sampling was purposive sampling method with the following criteria: 1. Stocks are liquid, 2. Registered during the period of observation, 3. Not doing dividend announcements, stock splits and the issuance of additional shares during the event period. The sample used in this study was 29 stocks listed on the Indonesia Stock Exchange. The analysis showed that there was a market reaction that is negative abnormal returns, but only significant in eight days, three days and one day before the announcement. Besides, the cumulative abnormal return test shown insignificant result. Therefore, negative abnormal returns did not give wealth to investors except on the fourth days. The impact that can be taken from this research is a bad news is not automatically bringing in a significance abnormal return, so an ivestor is better to analyze the abnormal return beforehand than overeacting to bad news