ABSTRAK
Tujuan penelitian ini adalah untuk mendapatkan bukti empiris bagaimana pengaruh pengumuman kebijakan quantitative easing oleh the FED terhadap harga saham perusahaan manufaktur di Indonesia.Sampel penelitian yang digunakan adalah 2 kelompok sampel. Kelompok tersebut adalah 65 perusahaan untuk event 1 dan 79 perusahaan untuk event 2. Kedua kelompok tersebut sudah diseleksi dengan teknik purposive sampling. Dimana setiap perusahaan yang diambil adalah perusahaan yang memiliki data harga saham lengkap, tidak membagikan deviden, memiliki saham yang bergerak dan masih terdaftar di BEI hingga 2015. Metode pengujian yang digunakan adalah uji beda dengan one sample t-test dan paired sample t-test.Secara keseluruhan hasil penelitian menunjukkan bahwa pengumuman kebijakan quantitative easing berpengaruh pada pergerakan abnormal return perusahaan manufaktur di Indonesia dan hanya menyebabkan stock boom.
Kata Kunci: quantitative easing, abnormal return, harga saham
ABSTRACT
The purpose of this research was to obtain the effect of the announcement of quantitative easing policy executed by The FED on the stock prices of manufacture companies in Indonesia.Sample used in this research was divided into 2 groups. Those groups contained 65 manufacture companies for the event 1 dan 79 manufacture companies for the event 2. Two groups of samples were selected by purposivesampling technique. To fulfil the criteria of the data, each companies has to hold the completed stock prices data, to not distribute their dividend, to not have immovable stock prices and to be listed in Indonesian Stock Exchange (BEI) 2015 as the criteria. Testing methods used in this research were one sample t-test and paired sample t-test.Overall, this research indicated that the announcement of quantititave easing policy by the FED influences the abnormal return of the manufacture companies in Indonesia and it only affected the stock boom.
Keywords: quantitative easing, abnormal return, stock prices