REAKSI PASAR MODAL ATAS KEBIJAKAN PENGENDALIAN TEMBAKAU DI INDONESIA: event study pada saham industri rokok di bursa efek Indonesia

Ariyanti, Riri (2016) REAKSI PASAR MODAL ATAS KEBIJAKAN PENGENDALIAN TEMBAKAU DI INDONESIA: event study pada saham industri rokok di bursa efek Indonesia. S2 thesis, Universitas Pendidikan Indonesia.

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Official URL: http://repository.upi.edu/

Abstract

Kebijakan pengendalian tembakau dianalisis sebagai informasi yang memberikan sinyal bagi pasar, khususnya industri yang bersinggungan erat dengan tembakau—yaitu industri rokok. Penelitian ini bertujuan untuk membuktikan teori pasar efisisen bentuk semi-strong di mana harga-harga sekuritas mencerminkan kandungan informasi relevan yang ada. Tanggal pengumuman kebijakan menjadi parameter periode yang diteliti, karena dalam kondisi pasar efisien selama periode tersebut seharusnya pasar bereaksi dibuktikan dengan adanya abnormal return. Selain itu, data historis harga saham dan indeks pasar menjadi dasar perhitungan normal return menggunakan market model. Penelitian ini menggunakan metodologi event study dengan estimation window untuk normal return selama 252 hari dan event window selama 11 hari [-5,0,+5] untuk sebuah kebijakan yang sudah diprakarsai World Health Organization namun belum diratifikasi oleh pemerintah Indonesia, Framework Convention on Tobacco Control, beserta tiga kebijakan lain yang telah diterapkan di Indonesia sejak tahun 2003. Hasil pengolahan data terhadap tiga perusahaan rokok yang terdaftar di Bursa Efek Indonesia menunjukkan bahwa pasar merespon keempat kebijakan. Berdasarkan hasil one sample t-test, Peraturan Pemerintah No. 19 Tahun 2003 tentang Pengamanan Rokok Bagi Kesehatan direspon dengan abnormal return positif signifikan pada hari pengumuman dan empat hari sebelum pengumuman walaupun sempat menghasilkan abnormal return negatif yang signifikan dua hari sebelum pengumuman. Rata-rata abnormal return yang dihasilkan sebelum dan sesudah pengumuman masing-masing kebijakan terdapat perbedaan namun tidak signifikan. ---------- Tobbaco control regulation is analyzed as information contains of signal for the market, especially for the industri of which directly correlated with tobacco—that is cigarette industry. This paper is aim to prove the theory of semi-strong form efficient market where security prices reflect all available relevant information.The announcing event date becomes the period parameter to observe whether abnormal returns were occurred during that time regarding to the efficient market term. Besides, the histotical data of share prices dan market indices are needed to calculate the normal return using market model approaches. The event study methodology was employed to arrange the estimation window for normal return observed 252 days and 11 days [-5,0,+5] for event window along the three regulations that already exist in Indonesia since 2003 and one initiative regulations from World Health Organization, the Framework Convention on Tobacco Control, that has not already been ratified. The result shows that market, represented by three cigarette company listed in Indonesia Stock Exchange, is affected by all regulations. Peraturan Pemerintah No. 19 2003 consists of cigarette safety regulation due to health issue shows a significant positive abnormal return at the event date and four days before the announcement although it significantly falls two days before the date. It is also a difference between average abnormal returns before and after the the announcement of every regulation but not significant in numbers.

Item Type: Skripsi Tesis Atau Disertasi (S2)
Additional Information: No. Panggil: T MMB ARI r-2016; Pembimbing: I. Nugraha II. Ikaputera Waspada
Uncontrolled Keywords: event study, abnormal return, FCTC, tembakau, industri rokok, reaksi pasar. event study, abnormal return, FCTC, tobacco, cigarette industry, market reaction.
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Sekolah Pasca Sarjana > Magister Manajemen Bisnis
Depositing User: Mr. Tri Agung
Date Deposited: 25 Aug 2016 06:34
Last Modified: 25 Aug 2016 06:34
URI: http://repository.upi.edu/id/eprint/21867

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