THE IMPACT OF FUEL PRICE INCREASE ON STOCK PRICE IN INDONESIA STOCK EXCHANGE
DOI:
https://doi.org/10.14414/jebav.v16i3.219Keywords:
Abnormal Return, Expected Return, Trading Volume Activity, Event StudyAbstract
The purpose of this research is to analyze the response ofIndonesian Capital Market to increase in fuel price as announced by the Government on June 22nd, 2013. This study uses abnormal returns and trading volume activity as the indicatorsto observe investors’ responses in the capital market. Event study is used in order to examine investors’ responses. It measures the investors’ response before and after the announcement of increase infuel price. The sample used in this study includes all companies listed on the LQ-45 for the period of February to July 2013. The result indicates that there are significant negative abnormal returns before the announcement of increasing in fuel price and there are positive abnormal returns after the announcement of increasing in fuel price. However,there is no significant difference between the abnormal returns before and after the announcement. Additionally, there is an increase in activity shown by the increase in trading volume activity before and after the announcement. Yet, there is no significant difference between the activity before and after the announcement.References
Antara, 30 April 2013, Kenaikan Harga
BBM Positif Bagi Pasar Modal,
,
viewed 6 November 2013.
Arisyahidin, HS 2012, ‘Dampak Kebijakan
Kenaikan Harga Bahan Bakar Minyak
(BBM) terhadap Investasi Saham di
Bursa Efek Indonesia (BEI)’, Jurnal
Ilmu Manajemen, Revitalisasi, Vol. 1,
No. 2, September 2012.
Bodie, Z 1976, ‘Common Stocks as a Hedge
Against Inflation’, The Journal of
Finance, 31(2): 459-470.
Brealey, Richard A, Stewart C Myers,
Franklin Allen, 2008, Principle of
Corporate Finance, Mc Graw Hill,
New York, America.
Brigham, Eugene, Philip R Daves, 2004,
Intermediate Financial Management,
th
edition, South Western, Thomson,
USA.
Bursa Efek Indonesia, 2013, Fact Book
Fabozzi, Frank J 1999, Investment Management, Second edition, Prentice Hall International, Inc.
Fama, EF 1981, ‘StockReturn, Real Activity, Inflation, and Money’, The
American Economic Review, 71: 545-565.
Fama, EF & Schwert, GW 1977, ‘Asset Returns and Inflation’, Journal of Financial Economic, 5 : 115-146.
Feldstein, M 1980, ‘Inflation and The Stock
Market’, The American Economic Review, 70 (5): 839-847.
Geske, R, & Roll, 1983, The ‘Fiscal and
Monetary Linkage Between Stock Return and Inflation’, The Journal of
Finance, 38 : 1-33.
Ghoniyah, Nunung, Mutamimah and Jenar
Widayati, 2008, ‘Reaksi Pasar Modal
Indonesia Terhadap Pengumuman Obligasi Syariah’, SNA XI 2008.
Jogiyanto HM 2010, Teori Portofolio dan
Analisis Investasi, 7
th
Edition, BPFE,
Yogyakarta.
Kaul, G 1987, ‘Stock Return and Inflation :
The Role of The Monetary Sector’,
The Journal of Financial Economics,
: 253-276.
Kementerian Keuangan Republik Indonesia,
, Nota Keuangan dan Anggaran
Pendapatan dan Belanja Negara Tahun 2013.
Koran Jakarta, 19 April 2013, Kenaikan
BBM: Hindari Saham Bank dan Otomotif, <http://koranjakarta.com/index.php/detail/view01/11741
>, Viewed 6 November 2013.
Manurung, Adler Haymans, and Cahyanti
Ira K, 2007, ‘Pengaruh Peristiwa Politik Terhadap Transaksi Saham di Bursa Efek Jakarta’, Jurnal Bisnis dan
Manajemen, Vol. 7 No. 2, 2007,
pp.135-146.
Nelson, CR 1976, ‘Inflation and Rates of
Return on Common Stocks’, The
Journal of Finance, 31 (2) : 471-483.
Pearce, DK & Roley, VV 1988, ‘Firm Characteristics, Unanticipated Inflation,and Stock Return’, The Journal of
Finance, 43 (4) : 965-981.
Schwert, GW 1981, ‘The Adjustment of
Stock Prices to Information about Inflation, The Journal of Finance, 36(1) :
-29.
Setyawan, Tri Adi, 2006, ‘Analisa Reaksi
Pasar Modal Terhadap Kenaikan Harga BBM’, Post Graduate Thesis, Universitas Diponegoro, Semarang.
Shubita, MF, & Al Sharkas, Adel A 2010,
‘A Study of Size Effect and macroeconomics Factors in New York Stock
Exchange’, Applied Econometrics and
International Development, Volume
-2.
Sirait, Rica Syafitri, Wiwik Tiswiyanti
and Fitrini Mansyur, 2010, ‘Dampak
Pergantian Menteri Keuangan RI
Tahun 2010 terhadap Abnormal Return Perusahaan Perbankan yang
Terdaftar di BEI’, e-journal Binar
Akuntansi, Volume 1 No. 1, September 2012.
Suryawijaya, MA and Setiawan, FA 1998,
‘Reaksi Pasar Modal Indonesia terhadap Peristiwa Politik Dalam Negeri,
Even Studi pada Peristiwa 27 Juli
, Kelola, No. 18/VII/1998,
pp.137-153.
Tim Litbang Kompas, 2013, Buku Pintar
Kompas 2012, Penerbit Buku Kompas,
Jakarta.
Torrecilas, M, Del Camino & Jareno, Francisco, 2013, ‘Inflation News Impact on
Stock Market : A Review’, Pensee
Journal, Vol. 75 No. 11 November
World Bank, 2013, Perkembangan Triwulan
Perekonomian Indonesia, Menanggapi
Berbagai Tekanan, Juli 2013,
<http://wwwwds.worldbank.org/external/default/W
DSContentServer/WDSP/IB/2013/07/18/000333037_
/Rendered/INDEX/7
WP0INDON0Box0377381B00P
UBLIC0.txt>, viewed 6 November
Zaqi, Mochamad, 2006, ‘Reaksi pasar modal
indonesia terhadap peristiwa ekonomi
dan peristiwa sosial politik dalam negeri (Studi pada saham LQ-45 di BEJ periode 1999-2003)’, Post Graduate Thesis, Universitas Diponegoro, Semarang.
Downloads
Published
Issue
Section
License
Copyright (c) 2014 Teddy Chandra
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
