THE REACTION OF INDONESIA CAPITAL MARKET TOWARDS U.S. FEDERAL RESERVE�S TAPERING POLICY ON QUANTITATIVE EASING 2013 (Event Study on Indonesia Composite Stock Index)
| Main Authors: | , IGNATIUS DENNY KURNIAWAN SUGIARTO, , Prof. Dr. Jogiyanto Hartono M., Ph.D.,M.B.A., CMA |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2013
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/127190/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=67436 |
Daftar Isi:
- Information is basically one of the important elements that can not be separated from the investors activities in the capital market. This is because the information could affect the stock price fluctuation through the reactions of market participants. In 2013, global capital market - including Indonesia capital market � were shocked by the tapering policy of United States� Federal Reserve on quantitative easing.Thus, this even study research aims to find empirical evidence regarding the presence of Indonesia Composite Stock Index (IHSG) reaction towards the announcement event of FOMC Press Conference on June 19 th and September 18 th , 2013. The reactions observed are Abnormal Return variable in the period before, during, and after the announcement. Sample in this research is taken by purposive sampling method, in which it uses the closing price data of IHSG for 45 days estimation period and 11 days event period. Data analysis tools used is One-Sample Kolmogorov-Smirnov Test to determine normality of data and also statistical testing by using t-test.The results of t-test calculation shows that there are negative, significant abnormal returns around the announcement date in June and there are positive, significant abnormal returns around the announcement date in September.