Perilaku Investor terhadap Berita Turunnya Harga Batubara Dunia: Bukti Empiris dari Bursa Efek Indonesia

Anggi Saputra, Elvirha Dwi Kartika

Abstract


Penelitian ini mengkaji perilaku investor di Bursa Efek Indonesia dalam menanggapi pengumuman penurunan harga batubara dunia pada Oktober 2023. Menggunakan metode event study, penulis menganalisis reaksi pasar pada 38 perusahaan pertambangan melalui indikator imbal hasil tidak wajar dan aktivitas volume perdagangan. Hasil eksperimen menunjukkan bahwa tidak ada reaksi signifikan yang muncul tepat pada hari pengumuman tersebut karena pasar dianggap telah mengantisipasi informasi lebih awal. Fenomena ini mengindikasikan berlakunya hipotesis pasar efisien, di mana harga saham segera menyesuaikan diri sebelum berita resmi dipublikasikan secara luas. Selain itu, temuan ini memperlihatkan bahwa fluktuasi saham yang terjadi kemudian lebih dipengaruhi oleh sentimen ekonomi global dan kebijakan domestik lainnya daripada sekadar berita harga komoditas. Secara keseluruhan, sumber ini memberikan gambaran mendalam mengenai bagaimana psikologi pasar dan arus informasi memengaruhi stabilitas sektor energi di Indonesia

Keywords


Event Study, Perilaku Investor, Abnormal Return, Trading Volume Activity, Harga Batubara Dunia

Full Text:

PDF

References


Almeida, J., & Gonçalves, T. C. (2023). A systematic literature review of investor behavior in the cryptocurrency markets. In Journal of Behavioral and Experimental Finance (Vol. 37). Elsevier B.V. https://doi.org/10.1016/j.jbef.2022.100785

APBI-ICMA. (2025). Batubara Penting bagi Pertumbuhan Ekonomi Nasional.

Chen, M. H., Jang, S. C. (Shawn), & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004

Darmawati, Syarifuddin Rasyid, Lestari Rezki Nurul Amalia, & Andi Fadhilah Nurazisah. (2024). Analisis Abnormal Return Sebelum Dan Sesudah Pelarangan Ekspor Batu Bara Pada 1 Januari 2022. Journal Of Management, 17.

Fama, E. F. (1970a). Efficient Capital Markets: A Review Of Theory And Empirical Work. Encyclopedia of Continuum Mechanics, 2771–2771. https://doi.org/10.1007/978-3-662-55771-6_300736

Fama, E. F. (1970b). EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK. Encyclopedia of Continuum Mechanics, 2771–2771. https://doi.org/10.1007/978-3-662-55771-6_300736

Fazeli, R., Do, T. N., Overland, I., & Pradnyaswari, I. (2025). Southeast Asia faces high stranded asset risk from coal power investments. Energy Strategy Reviews, 62. https://doi.org/10.1016/j.esr.2025.101971

Guo, R., Liu, L., Liu, Y., & Zhang, L. (2023). Evolution of trust in a hierarchical population with different investors based on investment behavioral theory Ruqiang. Chaos, Solitons and Fractals: The Interdisciplinary Journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, 176(July), 114078. https://doi.org/10.1016/j.chaos.2023.114078

Halim, N. (2022). Stock Market Reaction During Coal Export Ban Policy. 7(10). https://doi.org/10.36418/syntax-literate.v7i10.13090

Hartono, J. (2017). Teori portofolio dan analisis investasi (11th ed.). BPFE-Yogyakarta.

Jin, X., & Xue, Q. (2023). Retail investor attention and stock market behavior in Russia-Ukraine conflict based on Chinese practices: Evidence from transfer entropy causal network. Finance Research Letters, 58(PB), 104457. https://doi.org/10.1016/j.frl.2023.104457

Johri, A., Wasiq, M., Kaur, H., & Asif, M. (2023). Assessment of users’ adoption behaviour for stock market investment through online applications. Heliyon, 9(9). https://doi.org/10.1016/j.heliyon.2023.e19524

Kusumaning Ayu Putri Pamungkas, C., Dyah Puspasari, I., & Ayu Paramitha, D. (2023). Valuasi Harga Wajar Saham Tambang Batubara Yang Terdaftar Di Bei Menggunakan Pendekatan Price Earning Ratio (Per). Simposium Manajemen Dan Bisnis II, 2.

Li, J. (2024). A study on the impact of investor sentiment on individual stocks based on text mining. Applied and Computational Engineering, 88(1), 145–154. https://doi.org/10.54254/2755-2721/88/20241662

Livia Hartanto, R., & Rahayu, M. (2025). Persistensi Kinerja Reksa Dana Saham di Indonesia pada Tahun 2018-2020. 6(3), 1–13. https://penerbitadm.pubmedia.id/index.php/jurnalemak

Peterson, P. P. (1989). Event studies : a review of issues and methodology. Quarterly Journal of Business and Economics, 28.1989.

Peterson, P. P. (2014). Event Studies : A Review of Issues and Methodology. Journal of Business and Economics., 28(3), 36–66.

Rahim, R., Sulaiman, D., Husni, T., & Wiranda, N. A. (2021a). Investor Behavior Responding to Changes in Trading Halt Conditions: Empirical Evidence from the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(4), 135–143. https://doi.org/10.13106/jafeb.2021.vol8.no4.0135

Rahim, R., Sulaiman, D., Husni, T., & Wiranda, N. A. (2021b). Investor Behavior Responding to Changes in Trading Halt Conditions: Empirical Evidence from the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(4), 135–143. https://doi.org/10.13106/jafeb.2021.vol8.no4.0135

Reuters. (2025). Global steel sector lagging on green transition as coal-powered production rises, research shows.

Sunardi, S., Noviolla, C., Supramono, S., & Hermanto, Y. B. (2023). Stock market reaction to government policy on determining coal selling price. Heliyon, 9(2). https://doi.org/10.1016/j.heliyon.2023.e13454

Trisno, B., & Vidayana. (2023). Understanding herding behavior among Indonesian stock market investors. E3S Web of Conferences, 426, 01088. https://doi.org/10.1051/e3sconf/202342601088

Yanguas Parra, P., Hauenstein, C., & Oei, P. Y. (2021). The death valley of coal – Modelling COVID-19 recovery scenarios for steam coal markets. Applied Energy, 288. https://doi.org/10.1016/j.apenergy.2021.116564




DOI: https://doi.org/10.33373/bening.v13i1.8974

Refbacks

  • There are currently no refbacks.


ISSN Barcode:

Lisensi Creative Commons
Ciptaan disebarluaskan di bawah Lisensi Creative Commons Atribusi 4.0 Internasional.