Reaksi Pasar Terhadap Pengumuman Buyback Pada  Perusahaan Publik di Indonesia

Brigita Yellofina Pescana Wadu; Meinanda Kurniawan

Authors

Brigita Yellofina Pescana Wadu Universitas Padjadjaran
Meinanda Kurniawan Universitas Padjadjaran

Keywords:

Buyback saham, Event study, Abnormal return, Ukuran perusahaan, Bursa Efek Indonesia

Abstract

Penelitian ini difokuskan pada analisis respons pasar terkait pengumuman buyback saham pada perusahaan publik di Bursa Efek Indonesia kurun waktu 2019–2024. Penelitian ini menerapkan metode event study dengan pendekatan kuantitatif. Sampel penelitian terdiri dari 136 pengumuman buyback yang memenuhi kriteria penelitian. Perhitungan dilakukan menggunakan market model dengan estimasi beta OLS untuk memperoleh variabel yang dianalisis meliputi abnormal return (AR), average abnormal return (AAR), serta cumulative abnormal return (CAR). Temuan penelitian mengindikasikan bahwa pasar memberikan respons positif hanya dalam jangka sangat pendek. Uji One Sample t-Test menunjukkan adanya CAR positif signifikan sebesar 2,3% dalam jendela H–1 sampai H+1, sedangkan pada jendela yang lebih panjang efeknya tidak signifikan. Hasil pengujian Paired Sample t-Test memperlihatkan adanya perbedaan yang signifikan AAR sebelum dan sesudah pengumuman, namun nilainya tetap negatif, yang mengindikasikan respons pasar bersifat moderat. Lebih lanjut, hasil analisis dengan independent sample t-test mengindikasikan bahwa perusahaan kecil menghasilkan CAR yang lebih tinggi dibandingkan perusahaan besar, mendukung teori sinyal dan asimetri informasi. Secara menyeluruh, hasil studi ini menyimpulkan pengumuman buyback di Indonesia memiliki efek jangka pendek yang positif, namun tidak berlanjut dalam jangka menengah, serta dipengaruhi oleh ukuran perusahaan.

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