Reaksi Pasar Modal terhadap Fluktuasi Nilai Tukar Rupiah dan US Dollar di Sektor Perbankan
-
Syarifuddin Rasyid
*
Universitas Hasanuddin, Makassar,
Indonesia
- Darmawati Darmawati Universitas Hasanuddin, Makassar, Indonesia
- Charles Tandilino Universitas Hasanuddin, Makassar, Indonesia
- Laode Bagus Wijaya Irianto Universitas Hasanuddin, Makassar, Indonesia (*) Corresponding Author
Abstract
This research aims to analyze the market reaction due to fluctuations in the exchange rate of the Rupiah and the US Dollar on the stock prices of the banking sector listed on the Indonesia Stock Exchange using the event study method through the indicators of Average Abnormal Return (AAR) and Average Volume Trading Activity (AVTA). The data collection technique is secondary data obtained from official sources, namely the Indonesia Stock Exchange (IDX) and Yahoo Finance. The population that became the study sample consists of 46 banking sector companies listed on the IDX, with an observation period of 15 trading days. Statistical testing was conducted using the SPSS statistical tool with a paired sample t-test. The results of the paired sample t-test showed that the significance value for AAR was 0.596 and for AVTA was 0.519 (p > 0.05), indicating no significant difference between the averages before and after the event. Additionally, descriptive analysis shows a stability pattern in both indicators, reflecting the market's response to the event without any significant spikes. These findings affirm that the banking sector has a high resilience to events of rupiah exchange rate fluctuations, making it a key pillar of the capital market that provides stability and liquidity to the financial system. This research recommends extending the observation period and exploring the impact of monetary policy to understand the dynamics of the relationship between exchange rate fluctuations and the performance of the financial sector.
Downloads
References
Aini, N. Q. (2016). Reaksi Pasar Modal Sebelum Dan Sesudah Peristiwa Penguatan Tertinggi Dolar Us Terhadap Rupiah Tahun 2015. Jurnal Ilmiah Mahasiswa FEB, 85(1), 6.
Allen, F., & Carletti, E. (2013). Financial Markets, Institutions and Liquidity. The Reserve Bank of Australia Conference 2013 on Liquidity and Funding Markets, 77–107.
Ananda, W. C., & Santoso, A. B. (2022). Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Rupiah terhadap Return Saham pada Perusahaan Perbankan yang Terdaftar Di Bursa Efek Indonesia (2018-2020). J-MAS (Jurnal Manajemen Dan Sains), 7(2), 726. https://doi.org/10.33087/jmas.v7i2.559
Anang, D. (2016). Reaksi Pasar Saham Sebelum dan Sesudah Peristiwa Pelemahan Rupiah Terhadap Dollar Amerika Serikat Tahun 2018 (Studi pada perusahaan yang terdaftar pada Sektor Industri Barang Konsumsi di Bursa Efek Indonesia). 2018, 1–23.
Ang, R. (1997). Buku Pintar Pasar Modal Indonesia (The Intelligent Guide to Indonesia Capital Market). https://api.semanticscholar.org/CorpusID:169060113
Arifin, M. S., Rosye Zaena, Abdul Karim, Septiana Na’afi, & Aziz. (2023). Analysis Role of Exchange Rate, BI Seven Days Rate, Inflation and Gold Price on Return of ISSI (Indeks Saham Syariah Indonesia). JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 9(1), 159–165. https://doi.org/10.35870/jemsi.v9i1.901
Aristiana, F., & Perkasa, D. H. (2023). Pengaruh Kurs Rupiah, Inflasi, Dan Suku Bunga Bank Indonesia Terhadap Harga Saham (Studi Pada Sub-Sektor Perbankan Di Bursa Efek Indonesia Periode 2020-2022). Jurnal Ekonomi, Manajemen Dan Akuntansi, 2(4), 207–219. http://jurnal.anfa.co.id/index.php/mufakat
Eduardus, T. (2017). Analisis Investasi dan Manajemen Portofolio. BPFE Yogyakarta. https://books.google.co.id/books?id=s7mBEAAAQBAJ
Fama, E. F. (1970). Efficient Capital Markets: A Review of the Theory. The Journal of Finance, 25(2), 383–417.
Freixas, X., & Rochet, J.-C. (2008). Microeconomics of Banking, Second Edition. In The MIT Press (Issue October). https://www.bis.org/publ/bcbs179.pdf
Fuadi, A. (2020). Inflasi Dan Nilai Tukar Rupiah Terhadap Indeks Saham Syariah Indonesia. Jurnal Akuntansi Bisnis Pelita Bangsa, 5(01), 1–12. https://doi.org/10.37366/akubis.v5i01.102
Gerranda Vibra Ramadhani, G. (2018). Pengaruh Nilai Tukar Rupiah, Suku Bunga Bank Indonesia Dan Inflasi Terhadap Return Saham Dengan Profitabilitas Sebagai Variabel Intervening Pada Perusahaan Perbankan Di Bursa Efek Indonesia (Bei) TAHUN 2012-2015. Jurnal Ekobis Dewantara, 6(1), 1–7. http://dx.doi.org/10.1016/j.gde.2016.09.008%0Ahttp://dx.doi.org/10.1007/s00412-015-0543-8%0Ahttp://dx.doi.org/10.1038/nature08473%0Ahttp://dx.doi.org/10.1016/j.jmb.2009.01.007%0Ahttp://dx.doi.org/10.1016/j.jmb.2012.10.008%0Ahttp://dx.doi.org/10.1038/s4159
Hartati, C. (2022). Abnormal Return Saham Terhadap Peristiwa Politik Di Indonesia. Jurnal Trial Balance VOLUME, 1(1), 1–17.
Irfan, M., Kassim, S., & Dhimmar, S. (2021). Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models. International Journal of Islamic Economics and Finance (IJIEF), 4(1), 121–148. https://doi.org/10.18196/ijief.v4i1.10480
Jogiyanto, H. (2017). Teori Portofolio dan Analisis Investasi Edisi Kesebelas. Yogyakarta : BPFE. https://books.google.co.id/books?id=s7mBEAAAQBAJ
Mackinlay, A. C. (1997). American Economic Association Event Studies i n Economics and Finance. Source Journal of Economic Literature Journal of Economic Literature, 35(1), 13–39. http://www.jstor.org/stable/2729691%5Cnhttp://www.jstor.org/page/info/about/policies/terms.jsp%5Cnhttp://www.jstor.org
Mishkin, F. S. (2019). The Economics Of Money , Banking , And The Pearson Series in Economics.
Natali, D. A., & Suhendra, E. S. (2023). Pengaruh Pandemi Covid-19, Inflasi, Nilai Tukar Rupiah (Kurs), Foreign Buy Dan Foreign Sell Terhadap Indeks Saham Perbankan. Jurnal Ilmiah Ekonomi Bisnis, 28(1), 69–83. https://doi.org/10.35760/eb.2023.v28i1.5567
Nia, M. (2020). Open Access The Effect of Corona Outbreak on the Indonesian Stock Market Jakarta Stock Exhange. American Journal of Humanities and Social Sciences Research (AJHSSR) e-ISSN:2378-703X, 4(3), 358–370. https://www.ajhssr.com/wp-content/uploads/2020/03/ZU2043358370.pdf
Pathonah, N., Purwanto, B., & Ermawati, W. (2021). Analysis Semi-Strong Efficiency Market Testing Through of Right Issue Influence on Abnormal Return in Emitens Indonesia Stock Exchange Period 2017-2019. 2006. https://doi.org/10.4108/eai.14-9-2020.2304436
Paulus Tahu, G. (2018). Reaksi Pasar Modal Indonesia Terhadap Pelemahan Rupiah Terhadap Dolar As. Widya Manajemen, 1(1), 18–39. https://doi.org/10.32795/widyamanajemen.v1i1.204
Pratiwi, I. G. A. M. A. M. A., Dwipradnyana, I. M. M., & Diatmika, I. G. N. D. (2021). Analisis Perbandingan Return Saham dan Volume Perdagangan Saham Sebelum dan Setelah Merger (Studi Kasus pada PT. Bank Syariah Indonesia Tbk.). Majalah Ilmiah Universitas Tabanan, 18(1), 108–113. https://ojs.universitastabanan.ac.id/index.php/majalah-ilmiah-untab/article/view/117
Putri, T. N. A. (2020). Reaksi Pasar Modal Indonesia Terhadap Fluktuasi Rupiah atas Pandemi Covid-19 (Studi pada Perusahaan yang terdaftar pada LQ45 di Bursa Efek Indonesia). Jurnal Bisnis Dan Akuntansi, 8(2), 11.
Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2020). Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 7(2), 407–415. https://doi.org/10.35794/jmbi.v7i3.30668
Suganda, T. R. (2018). Event Study : “Teori dan Pembahasan Reaksi Pasar Modal Indonesia.” In Angewandte Chemie International Edition, 6(11), 951–952. (Issue November).
Usmar, D. (2021). Transformasi PPKM Terhadap Abnormal Return Sub Industri Farmasi. Jurnal Sosial Teknologi, 1(11), 341–352. https://doi.org/10.59188/jurnalsostech.v1i11.233
Bila bermanfaat silahkan share artikel ini
Berikan Komentar Anda terhadap artikel Reaksi Pasar Modal terhadap Fluktuasi Nilai Tukar Rupiah dan US Dollar di Sektor Perbankan
Pages: 170-179
Copyright (c) 2025 Syarifuddin Rasyid, Darmawati Darmawati, Charles Tandilino, Laode Bagus Wijaya Irianto
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).
