ANALISIS PERBEDAAN REAKSI PASAR ATAS PENGUMUMAN INDONESIAN BANKING AWARD

ABSTRACT

This research to find out the market reaction to the publication of Indonesian
Banking Award 2015-2017. Market reaction can be seen from the difference in
abnormal return before and after announcement, and also seen from the difference
in abnormal return of the winner and not winner. The sample used in this research
is all banking companies listed in Indonesian Stock Exchange (BEI). Data research
using secondary data, the data is the closing stock price during the event window
period 3 days before and 3 days after the announcement. Expected return calculate
using the market adjusted model and hypotheses were tested using Wilcoxon Sign
Ranks Test and Mann-Whitney Test. The result of Wilcoxon Sign Ranks Test showed
that the publication of Indonesian Banking Award in 2015-2017 was responded by
the market with significant abnormal returns before and after publication.
Meanwhile the result of Mann Whitney Test showed that there is no difference
abnormal return between winner and not winner.

Keyword: Market reaction, abnormal return, Indonesian Banking Award, event study