ANALISIS ABNORMAL RETURN SAHAMSEBELUM DAN SESUDAH PENGUMUMAN PERATURAN LOAN TO VALUE KPR(Studi Pada Perusahaan Properti Di Bursa Efek Indonesia)

Dwi Suharyanto, Rusdayanti Asma

Abstract


This study aims to analyze the abnormal stock return of property companies in Indonesia Stock Exchange as a result of the announcement of Bank Indonesia on  the  restriction  of  the  maximum  Loan  to  Value  (LTV)  of  the  mortgage loans.  This  study  uses  event  study,  which  observed  the  average  abnormal return over the 10 days prior to the announcement up to 10 days thereafter.

The  results  showed  that  there  was  no  signifi cant  difference  between  the abnormal  returns  before  and  after  the  announcement.  However,  there  is  an increase  in  the  number  of  days  that  experienced  abnormal  returns,  ie  2 (two)  days  in  the  period before the announcement of a 5 (fi ve) days in the period thereafter. While at the moment of announcement there is no abnormal return. This suggests that the effect of the  announcement  was  not  immediately responded by the market, but there is a lag time for the market to react. These conditions may be caused investors do not have the experience to identify and measure the impact of LTV mortgage regulation. Signifi cant  abnormal  return occurs also varies, which is experiencing abnormal gain 3 days and 4 days of having abnormal loss, which shows the confusion in the market so it happened a few times stock price correction. Another possibility for the market considers these policies also have a positive side. Properties company performance may be declining, but the industry would likely have a positive impact in the long run because it will reduce the risk of price bubbles.

Keyword : Abnormal Return, Event Study, Mortgage Loan, Loan to Value.


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DOI: http://dx.doi.org/10.20527/jwm.v1i2.50

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Jurnal Wawasan Manajemen by Magister Manajemen Fakultas Ekonomi dan Bisnis Universitas Lambung Mangkurat is licensed under a Creative Commons Attribution 4.0 International License. Based on a work at jwm.ulm.ac.id.