Ferdian, Rio Hendra (2026) Analisis Reaksi Pasar Saham terhadap Penurunan Suku Bunga Bank Indonesia dan The Federal Reserve: Event Study pada Perusahaan di Sektor Keuangan. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
This study aims to analyze the difference in abnormal returns before and after interest rate cut announcements and examine the influence of firm-specific characteristics on CAR. The research employs an event study approach using the Wilcoxon Signed Rank Test and cross-sectional linear regression analysis. The results indicate that there is no significant difference in abnormal returns before and after the interest rate cut announcement. Firm size, leverage, and institutional ownership have a positive and significant effect on CAR, profitability has a negative significant effect, while liquidity has no significant effect. This study is based on signaling theory, which explains how company information provides signals to investors. The findings provide practical implications for investors in evaluating firm characteristics when responding to monetary policy announcements. The novelty of this study lies in combining event study analysis with firm-specific characteristics in the financial sector.
| Item Type: | Thesis (Undergraduate) | ||||||||
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| Subjects: | H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation | ||||||||
| Divisions: | Faculty of Economic and Business > Departement of Accounting | ||||||||
| Depositing User: | Rio Hendra Ferdian | ||||||||
| Date Deposited: | 25 May 2026 07:45 | ||||||||
| Last Modified: | 25 May 2026 07:45 | ||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/52208 |
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