Reaksi pasar terhadap saham perusahaan gas negara (pgn) dalam kasus pembentukan holding company BUMN sektor minyak dan gas

Annisas, Januar (2018) Reaksi pasar terhadap saham perusahaan gas negara (pgn) dalam kasus pembentukan holding company BUMN sektor minyak dan gas. Masters thesis, Institut Pertanian Bogor.

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Abstract

The stock market’s reaction on PGN’s stock in case of forming holding company for oil and gas sector BUMN was analyzed based on the correlation between the investors’ reaction on PGN’s stock when the announcement of holding company happened on 25 January 2018. This research aimed to identify the correlation between PGN’s stock market reaction and the announcement of holding company and to identify whether there are macroeconomic variables influencing PGN’s stock during the announcement. Using the method of event study, the data utilized here were daily abnormal return (AR) that were cumulated, called cumulative abnormal return (CAR). The data were analyzed under the different event windows (-5, +5, -10, +10, and 15, +15 from the announcement) by applying t-paired test and linear regression test with the macroeconomic variables of gold price, natural gas price, oil price, exchange rate, and dummy variable, assuming value of zero a value before the announcement and value of one as value after the event. Based on the results of t-paired test, the CAR value before and after the announcement at the event window (-10, +10) and (-15, +15) had a significant and positive influence, while the CAR value before and after the announcement at the event window (-5, +5) had no significant correlation. Based on the linear regression analysis, all macroeconomic variables had no significant influence on CAR value at the event window (-10, +10) and (-15, +15), while at the event window (-5, +5) there obtained variables that had a significant correlation, namely gold price and gas price. In addition, dummy variable had a significant correlation with CAR value at all event windows. In conclusion, the market’s reaction on PGN’s stock was affected by the announcement of holding company, especially at the event window (-10, +10) and (-15, +15). The implication that can be conveyed from this research is in regard to the decision making when investing, particularly when the announcement of holding company for oil and gas sector BUMN occurs. Based on the results, the investors can purchase PGN’s stock at the event window fifteen or ten days before the announcement and hold it until after the announcement as the CAR of PGN;s stock from before to after the announcement rose, so that investors can gain profit from the difference between stock purchase price and selling price. The rising stock’s CAR indicates the presence of positive return gained by the investors.

Item Type: Thesis (Masters)
Uncontrolled Keywords: event study, event window, harga saham, holding company, reaksi pasar, Ordinary Least Square, OLS. event study, event window, stock price, holding company, market’s reaction
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 28 Feb 2019 03:32
Last Modified: 28 Feb 2019 03:32
URI: http://repository.sb.ipb.ac.id/id/eprint/3308

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