Unusual Market Activity di Bursa Efek Indonesia (BEI) Periode Tahun 2021- 2023

Abstract

Pasar modal berperan penting dalam perekonomian suatu negara, memungkinkan perusahaan memperoleh dana melalui penjualan surat berharga, dengan Bursa Efek Indonesia (BEI) mengatur dan mengawasi perdagangan efek untuk memastikan transparansi dan melindungi investor. Salah satu mekanisme pengawasan BEI adalah Unusual Market Activity (UMA), yang mengidentifikasi pergerakan harga saham yang tidak wajar namun tidak selalu melanggar peraturan. Penelitian ini menyoroti fungsi UMA dalam menjaga keteraturan pasar, menganalisis dampaknya terhadap abnormal return, dan mengevaluasi efektivitas kebijakan UMA dalam menciptakan pasar yang transparan, adil, dan efisien di Indonesia. Penelitian ini menganalisis pengaruh pengumuman Unusual Market Activity (UMA) terhadap aktivitas perdagangan saham dan Abnormal return pada perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) selama periode Januari 2021 hingga Desember 2023. Data yang digunakan mencakup harga saham harian dan transaksi saham dari BEI, KPEI, dan KSEI, dengan periode pengamatan H-5 hingga H+5 seputar pengumuman UMA. Pemilihan sampel dilakukan melalui teknik purposive sampling, memilih saham yang termasuk dalam daftar UMA selama tahun 2021-2023. Penelitian ini menggunakan metode event study, dengan analisis deskriptif, uji normalitas, dan uji Wilcoxon Signed Rank Test untuk mengukur perubahan Trading Volume Activity (TVA) dan Abnormal return saham sebelum dan sesudah pengumuman UMA. Data yang dianalisis mencakup saham yang tercatat di BEI, pengumuman saham UMA, dan harga penutupan saham. Hasil menunjukkan bahwa setelah pengumuman UMA, rata-rata Abnormal return (AR) menurun dari -0,112 menjadi -0,253, dan Trading Volume Activity (TVA) juga menurun dari 0,0278 menjadi 0,0184. Uji Wilcoxon mengkonfirmasi perbedaan signifikan dalam AR dan TVA sebelum dan setelah UMA. Temuan ini menunjukkan bahwa UMA dapat mempengaruhi pasar dengan penurunan harga saham dan perubahan aktivitas perdagangan. Implikasi manajerial meliputi perlunya pengawasan ketat terhadap UMA, transparansi informasi perusahaan, dan penggunaan UMA sebagai indikator dalam strategi investasi.

The capital market plays an important role in a country's economy, allowing companies to raise funds through the sale of securities, with the Indonesia Stock Exchange (IDX) regulating and supervising trading securities to ensure transparency and protect investors. One of the IDX's oversight mechanisms is Unusual Market Activity (UMA), which identifies unusual stock price movements but does not always violate regulations. This study highlights the function of UMA in maintaining market order, analyzing its impact on abnormal returns, and implementing the effectiveness of UMA policies in creating a transparent, fair, and efficient market in Indonesia. This study analyzes the effect of Unusual Market Activity (UMA) announcements on stock trading activities and abnormal returns in companies listed on the Indonesia Stock Exchange (IDX) during the period January 2021 to December 2023. The data used includes daily stock prices and stock transactions from IDX, KPEI, and KSEI, with an observation period of D-5 to D+5 around the UMA announcement. Sample selection was carried out using a purposive sampling technique, selecting stocks included in the UMA list during 2021-2023. This study uses the event study method, with descriptive analysis, normality test, and Wilcoxon sign rank test to measure changes in Trading Volume Activity (TVA) and abnormal stock returns before and after the UMA announcement. The data includes stocks listed on the IDX, UMA stock announcements, and stock closing prices. The results show that after the UMA announcement, the average Abnormal return (AR) decreased from -0.112 to -0.253, and Trading Volume Activity (TVA) also decreased from 0.0278 to 0.0184. The Wilcoxon test confirmed significant differences in AR and TVA before and after UMA. These findings suggest that UMA can affect the market with a decrease in stock prices and changes in trading activity. Managerial implications include the need for strict supervision of UMA, transparency of company information, and the use of UMA as an indicator in investment strategies.