EVENT STUDY ABNORMAL RETURN, VOLUME PERDAGANGAN SAHAM, DAN HARGA SAHAM PADA SPIN-OFF SAHAM PT ADARO ENERGY TBK

Warisman, Aris (2026) EVENT STUDY ABNORMAL RETURN, VOLUME PERDAGANGAN SAHAM, DAN HARGA SAHAM PADA SPIN-OFF SAHAM PT ADARO ENERGY TBK. Thesis thesis, Universitas BPD.

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Abstract

This study aims to analyze market reactions to the spin-off event of PT Adaro Energy Tbk (ADRO) using an event study approach. Market reactions are measured through three main indicators: abnormal return, trading volume activity, and stock price before and after the spin-off event. The data used in this study are secondary data consisting of closing stock prices, trading volumes, and market index data obtained from the Indonesia Stock Exchange (IDX). The observation period comprises 60 trading days, divided into pre-event and post-event periods. The analytical methods employed include the calculation of stock returns, abnormal returns using the market-adjusted model, and normality testing. The results of the normality tests indicate that most of the data are not normally distributed; therefore, hypothesis testing is conducted using the Wilcoxon Signed Rank Test, a nonparametric method. The findings show that there are significant differences in stock prices and trading volume activity before and after the spin-off event, indicating the presence of market reactions to the event. However, the Wilcoxon test results for abnormal return reveal no significant difference between the pre-event and post-event periods. Based on these results, it can be concluded that the spin-off of PT Adaro Energy Tbk (ADRO) is responded to by the market through changes in stock prices and trading volume activity, but it is not accompanied by significant abnormal returns. This finding implies that the spin-off information had been anticipated by the market, resulting in the absence of excessive market reactions in the form of abnormal returns

Item Type:	Thesis (Thesis)
Additional Information:	Penelitian ini bertujuan untuk menganalisis reaksi pasar terhadap peristiwa spin-off saham PT Adaro Energy Tbk (ADRO) dengan menggunakan pendekatan event study. Reaksi pasar diukur melalui tiga indikator utama, yaitu abnormal return, volume perdagangan saham, dan harga saham sebelum dan sesudah peristiwa spin-off. Data yang digunakan dalam penelitian ini merupakan data sekunder berupa harga saham penutupan, volume perdagangan saham, dan indeks pasar yang diperoleh dari Bursa Efek Indonesia (IDX). Periode pengamatan yang digunakan adalah 120 hari perdagangan yang dibagi ke dalam periode 60 hari sebelum dan sesudah peristiwa spin-off dengan event date 5 Desember 2024. Metode analisis yang digunakan meliputi perhitungan return saham, abnormal return dengan pendekatan market-adjusted model, serta pengujian normalitas data. Hasil uji normalitas menunjukkan bahwa sebagian besar data tidak berdistribusi normal, sehingga pengujian hipotesis dilakukan menggunakan uji nonparametrik Wilcoxon Signed Rank Test. Hasil pengujian menunjukkan bahwa terdapat perbedaan yang signifikan pada harga saham dan volume perdagangan saham sebelum dan sesudah peristiwa spin-off, yang mengindikasikan adanya reaksi pasar terhadap peristiwa tersebut. Namun, hasil uji Wilcoxon pada variabel abnormal return menunjukkan bahwa tidak terdapat perbedaan yang signifikan antara periode sebelum dan sesudah peristiwa spin-off. Berdasarkan hasil penelitian tersebut, dapat disimpulkan bahwa peristiwa spin-off PT Adaro Energy Tbk (ADRO) direspons oleh pasar melalui perubahan harga saham dan volume perdagangan saham, tetapi tidak diikuti oleh perubahan abnormal return yang signifikan. Temuan ini memberikan implikasi bahwa informasi spin-off telah diantisipasi oleh pasar sehingga tidak menimbulkan reaksi berlebih dalam bentuk abnormal return. Kata Kunci : abnormal return, harga saham, volume perdagangan saham, spin-off
Uncontrolled Keywords:	abnormal return, stock price, trading volume activity, spin-off
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Law, Arts and Social Sciences > School of Management
Depositing User:	Wisudawan S2
Date Deposited:	31 Mar 2026 01:52
Last Modified:	31 Mar 2026 01:52
URI:	http://eprints.stiebankbpdjateng.ac.id/id/eprint/3200

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