Pola Abnormal Return Saham Sektor Pertanian Dalam Indeks IDNONCYC Pada Peristiwa Kenaikan Harga Bahan Bakar Minyak 3 September 2022

Abstract

The increase in fuel prices announced on September 3, 2022, has the potential to create impacts on the economy, such as inflation, rising production factor costs, and income effects, which, in turn, affect the returns that investors will receive. This research was conducted with the aim of understanding the influence of the fuel price increase on September 3, 2022, on the movement of stock prices in the primary industry sector index (IDXNONCYC) and to determine the return patterns in the primary industry sector (IDXNONCYC). The sample used in this study was purposively selected from sub-industries relevant to the components of the agribusiness subsystem, resulting in 25 samples from the Retail & Food Distribution, Supermarket, Processed Milk, Processed Food, Meat Processing, Plantation, and Tobacco sub-industries, and was analyzed over a 21-day observation period. The analysis process using descriptive statistics shows the distribution of actual returns with 36% positive, 41% negative, and 23% zero actual returns. Additionally, a positive abnormal return pattern was found, accounting for 40% with a total of 209 occurrences, and a negative abnormal return pattern accounted for 60% with a total of 316 occurrences. Furthermore, a consecutive negative abnormal return pattern was identified for 17 days, and a varied positive abnormal return pattern was also observed.