Analisa Reaksi Pasar Modal terhadap Perang Rusia-Ukraina pada Bursa Efek Indonesia
Abstrak
This research aims to analyze the impact of the Indonesian capital market's reaction to the announcement of Russia's invasion of Ukraine on February 24 2022. Special focus is given to companies in the food industry sector that use wheat as the main raw material. Six companies listed on the Indonesian Stock Exchange that rely on wheat were the subject of analysis. The research method uses an event study approach by calculating cumulative abnormal returns and average trading volume activity in the time period February 2022-March 2022. The research results show that there are no significant differences in the calculated variables between the periods before and after the announcement of the Russian-Ukrainian invasion. The implication is that the Indonesian capital market, especially companies in the food industry sector, did not experience a significant impact due to this incident. This research contributes to understanding the capital market response to geopolitical events and its relevance to the food industry sector in Indonesia. In conclusion, the resilience of the Indonesian capital market to certain foreign events and emphasizes the importance of diversifying raw materials in the food industry to reduce potential external risks.
Keywords: Reaction Analysis, Indonesian Stock Exchange, Geopolitical Impact, Capital Markets, Russian-Ukrainian War
Referensi
DAFTAR PUSTAKA
Afdhal, M., Basir, I., Mubarak, & Agung, M. (2022). Dampak Invasi Rusia Terhadap Reaksi Pasar Pada Perusahaan Sektor Pertambangan Di Indonesia. Jurnal Akun Nabelo, 828-835. http://jurnal.untad.ac.id/jurnal/index.php/jan/article/view/19190
Ahmed, S., Hasan, M. M., & Kamal, M. R. (2022). Russia-Ukraine Crisis: The Effects on The European Stock Market. European Financial Management Wiler. https://onlinelibrary.wiley.com/doi/abs/10.1111/EUFM.12386
Alam, M. K., Tabash, M. I., Billah, M., Kumar, S., & Anagreh, S. (2022, August 8). The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets. Journal of Risk and Financial Management, 15(8). https://www.mdpi.com/1911-8074/15/8/352
Dihnni, V. A. (2022). Indonesia Jadi Negara Importir Gandum Terbesar di Dunia pada 2020. Retrieved from Databoks Katadata: https://databoks.katadata.co.id/datapublish/2022/04/12/indonesia-jadi-negara-importir-gandum-terbesar-di-dunia-pada-2020
Emelia, E., Suud, C. L., Tangga, F. H., Rawis, C. I., & Maramis, J. B. (2022). Reaksi Pasar Modal Jepang Atas Perang Rusia dan Ukraina. Jurnal EMBA, 10(4), 1645-1653. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/44290
Fernando, A. (2022). Harga Gandum Meroket, Investor Jual Saham ICBP-INDF-MYOR. Retrieved from CNBC Indonesia: https://www.cnbcindonesia.com/market/20220308082957-17-320812/harga-gandum-meroket-investor-jual-saham-icbp-indf-myor
JPMorgan Chase & Co. (2022, March 22). The Russia-Ukraine Crisis: What Does It Mean For Markets? Retrieved from J.P.Morgan: https://www.jpmorgan.com/insights/research/russia-ukraine-crisis-market-impact
Kamal, M. R., Ahmed, S., & Hasan, M. M. (2023, June). The Impact of The Russia-Ukraine Crisis on The Stock Market: Evidence from Australia. Pacific-Basin Finance Journal, 79. https://www.sciencedirect.com/science/article/pii/S0927538X23001026
Kornilova, O., & Karashchuk, O. (2017). Socially Responsible Business in Trade: Further Development in Ukraine and Russia. Problems and Perspective in Management, 15(3), 445-452. https://www.ceeol.com/search/article-detail?id=621363
Kusuma, D. T., Az-Zahra, S., Apriyadi, M. H., & Siregar, B. (2022). Rekasi Pasar Modal Indonesia Terhadap Peristiwa Perang Rusia dan Ukraina. Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi), 6(3), 420-435. http://journal.stiemb.ac.id/index.php/mea/article/view/2258
Kusumaningtyas, S. A. (2019). Pengujian Efisiensi Pasar Modal Indonesia Periode Tahun 2015-2018. Jurnal Ilmiah Universitas Brawijaya. https://www.ojs.stieamkop.ac.id/index.php/ecotal/article/view/451
Kusumawati, I., Purnamawati, I., & Mulyono, R. D. (2022, April). Perbandingan Reaksi Pasar Sebelum dan Sesudah Pengumuman Kasus Covid-19 Pertama. Jurnal Akuntansi Integratif, 8(1), 17-32. http://jurnalfebi.uinsby.ac.id/index.php/JAI/article/view/752
Laluraa, K., Mangantar, M., & Palandeng, I. D. (2022). Reaksi Pasar Modal Terhadap Peristiwa Invasi Russia Ke Ukraina Pada Industri Pertambangan yang Terdaftar di Bursa Efek Indonesia. Jurnal EMBA, 10(4), 1819-1826. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/44214
MSCI. (2023, February 21). Global Markets One Year After Russia’s Invasion of Ukraine. Retrieved from MSCI: https://www.msci.com/www/blog-posts/global-markets-one-year-after/03668219477
Nerlinger, M., & Utz, S. (2022). The Impact of The Russia-Ukraine Conflict on Energy Firms: A Capital Market Perspective. Finance Research Letters 50. https://www.sciencedirect.com/science/article/pii/S1544612322004421
Pahlevi, R. (2022). Indonesia Negara Tujuan Utama Ekspor Gandum Ukraina. Retrieved from Databoks Katadata: https://databoks.katadata.co.id/datapublish/2022/02/25/indonesia-negara-tujuan-utama-ekspor-gandum-ukraina#:~:text=Mengutip%20data%20Departemen%20Pertanian%20Amerika,sebesar%202%2C61%20juta%20ton
Priyambodo, M. G., & Yunita, I. (2023). Analisis Reaksi Pasar Modal Terhadap Peristiwa Perang Rusia dan Ukraina. SEIKO: Journal of Management & Business, 6(1), 605-614. https://www.journal.stieamkop.ac.id/index.php/seiko/article/view/3741
Ramadhani, R. (2015). Event Study Pada Peristiwa Publikasi Rencana Pembentukan Holding Bank BUMN. http://repository.ub.ac.id/8593/
Sun, M., Song, H., & Zhang, C. (2022). The Effects of 2022 Russian Invasion of Ukraine on Global Stock Markets: An Event Study Approach. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4051987
Suryani, A. I., & Wiarta, I. (2022). Volatilitas Indeks IDXMESBUMN Sebelum dan Sesudah Invansi Militer Rusia ke Ukraina. Jurnal Manajemen dan Sains, 7(2), 1316-1318. http://jmas.unbari.ac.id/index.php/jmas/article/view/595
Tambunan, A. M., Saerang, I. S., & Wenas, R. S. (2023). Reaksi Pasar Modal Indonesia Terhadap Invasi Rusia Ke Ukraina Pada Perusahaan Yang Terdaftar Dalam Sektor Energi Bursa Efek Indonesia. Jurnal EMBA, 902-909. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/46574
Tosun, O. K., & Eshraghi, A. (2022). Corporate decisions in times of war: Evidence from the Russia-Ukraine Conflict. Finance Research Letters 48. https://www.sciencedirect.com/science/article/pii/S1544612322001908
Trisnadewi, K. S., & Pradipa, N. A. (2023). Analisis Studi Peristiwa Invasi Rusia Ke Ukraina Terhadap Harga Saham IDX 80 Di Bursa Efek Indonesia. Jurnal Ekonomi Bisnis dan Akuntansi. https://ejurnal.politeknikpratama.ac.id/index.php/jebaku/article/view/1427
Yousaf, I., Patel, R., & Yarovaya, L. (2022). The Reaction of G20+ Stock Markets to The Russia-Ukraine Conflict "Black Swan" Event: Evidence from Event Study Approach. Journal of Behavioral and Experimental Finance 35. http://jurnal.untad.ac.id/jurnal/index.php/jan/article/view/19190
Afdhal, M., Basir, I., Mubarak, & Agung, M. (2022). Dampak Invasi Rusia Terhadap Reaksi Pasar Pada Perusahaan Sektor Pertambangan Di Indonesia. Jurnal Akun Nabelo, 828-835. http://jurnal.untad.ac.id/jurnal/index.php/jan/article/view/19190
Ahmed, S., Hasan, M. M., & Kamal, M. R. (2022). Russia-Ukraine Crisis: The Effects on The European Stock Market. European Financial Management Wiler. https://onlinelibrary.wiley.com/doi/abs/10.1111/EUFM.12386
Alam, M. K., Tabash, M. I., Billah, M., Kumar, S., & Anagreh, S. (2022, August 8). The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets. Journal of Risk and Financial Management, 15(8). https://www.mdpi.com/1911-8074/15/8/352
Dihnni, V. A. (2022). Indonesia Jadi Negara Importir Gandum Terbesar di Dunia pada 2020. Retrieved from Databoks Katadata: https://databoks.katadata.co.id/datapublish/2022/04/12/indonesia-jadi-negara-importir-gandum-terbesar-di-dunia-pada-2020
Emelia, E., Suud, C. L., Tangga, F. H., Rawis, C. I., & Maramis, J. B. (2022). Reaksi Pasar Modal Jepang Atas Perang Rusia dan Ukraina. Jurnal EMBA, 10(4), 1645-1653. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/44290
Fernando, A. (2022). Harga Gandum Meroket, Investor Jual Saham ICBP-INDF-MYOR. Retrieved from CNBC Indonesia: https://www.cnbcindonesia.com/market/20220308082957-17-320812/harga-gandum-meroket-investor-jual-saham-icbp-indf-myor
JPMorgan Chase & Co. (2022, March 22). The Russia-Ukraine Crisis: What Does It Mean For Markets? Retrieved from J.P.Morgan: https://www.jpmorgan.com/insights/research/russia-ukraine-crisis-market-impact
Kamal, M. R., Ahmed, S., & Hasan, M. M. (2023, June). The Impact of The Russia-Ukraine Crisis on The Stock Market: Evidence from Australia. Pacific-Basin Finance Journal, 79. https://www.sciencedirect.com/science/article/pii/S0927538X23001026
Kornilova, O., & Karashchuk, O. (2017). Socially Responsible Business in Trade: Further Development in Ukraine and Russia. Problems and Perspective in Management, 15(3), 445-452. https://www.ceeol.com/search/article-detail?id=621363
Kusuma, D. T., Az-Zahra, S., Apriyadi, M. H., & Siregar, B. (2022). Rekasi Pasar Modal Indonesia Terhadap Peristiwa Perang Rusia dan Ukraina. Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi), 6(3), 420-435. http://journal.stiemb.ac.id/index.php/mea/article/view/2258
Kusumaningtyas, S. A. (2019). Pengujian Efisiensi Pasar Modal Indonesia Periode Tahun 2015-2018. Jurnal Ilmiah Universitas Brawijaya. https://www.ojs.stieamkop.ac.id/index.php/ecotal/article/view/451
Kusumawati, I., Purnamawati, I., & Mulyono, R. D. (2022, April). Perbandingan Reaksi Pasar Sebelum dan Sesudah Pengumuman Kasus Covid-19 Pertama. Jurnal Akuntansi Integratif, 8(1), 17-32. http://jurnalfebi.uinsby.ac.id/index.php/JAI/article/view/752
Laluraa, K., Mangantar, M., & Palandeng, I. D. (2022). Reaksi Pasar Modal Terhadap Peristiwa Invasi Russia Ke Ukraina Pada Industri Pertambangan yang Terdaftar di Bursa Efek Indonesia. Jurnal EMBA, 10(4), 1819-1826. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/44214
MSCI. (2023, February 21). Global Markets One Year After Russia’s Invasion of Ukraine. Retrieved from MSCI: https://www.msci.com/www/blog-posts/global-markets-one-year-after/03668219477
Nerlinger, M., & Utz, S. (2022). The Impact of The Russia-Ukraine Conflict on Energy Firms: A Capital Market Perspective. Finance Research Letters 50. https://www.sciencedirect.com/science/article/pii/S1544612322004421
Pahlevi, R. (2022). Indonesia Negara Tujuan Utama Ekspor Gandum Ukraina. Retrieved from Databoks Katadata: https://databoks.katadata.co.id/datapublish/2022/02/25/indonesia-negara-tujuan-utama-ekspor-gandum-ukraina#:~:text=Mengutip%20data%20Departemen%20Pertanian%20Amerika,sebesar%202%2C61%20juta%20ton
Priyambodo, M. G., & Yunita, I. (2023). Analisis Reaksi Pasar Modal Terhadap Peristiwa Perang Rusia dan Ukraina. SEIKO: Journal of Management & Business, 6(1), 605-614. https://www.journal.stieamkop.ac.id/index.php/seiko/article/view/3741
Ramadhani, R. (2015). Event Study Pada Peristiwa Publikasi Rencana Pembentukan Holding Bank BUMN. http://repository.ub.ac.id/8593/
Sun, M., Song, H., & Zhang, C. (2022). The Effects of 2022 Russian Invasion of Ukraine on Global Stock Markets: An Event Study Approach. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4051987
Suryani, A. I., & Wiarta, I. (2022). Volatilitas Indeks IDXMESBUMN Sebelum dan Sesudah Invansi Militer Rusia ke Ukraina. Jurnal Manajemen dan Sains, 7(2), 1316-1318. http://jmas.unbari.ac.id/index.php/jmas/article/view/595
Tambunan, A. M., Saerang, I. S., & Wenas, R. S. (2023). Reaksi Pasar Modal Indonesia Terhadap Invasi Rusia Ke Ukraina Pada Perusahaan Yang Terdaftar Dalam Sektor Energi Bursa Efek Indonesia. Jurnal EMBA, 902-909. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/46574
Tosun, O. K., & Eshraghi, A. (2022). Corporate decisions in times of war: Evidence from the Russia-Ukraine Conflict. Finance Research Letters 48. https://www.sciencedirect.com/science/article/pii/S1544612322001908
Trisnadewi, K. S., & Pradipa, N. A. (2023). Analisis Studi Peristiwa Invasi Rusia Ke Ukraina Terhadap Harga Saham IDX 80 Di Bursa Efek Indonesia. Jurnal Ekonomi Bisnis dan Akuntansi. https://ejurnal.politeknikpratama.ac.id/index.php/jebaku/article/view/1427
Yousaf, I., Patel, R., & Yarovaya, L. (2022). The Reaction of G20+ Stock Markets to The Russia-Ukraine Conflict "Black Swan" Event: Evidence from Event Study Approach. Journal of Behavioral and Experimental Finance 35. http://jurnal.untad.ac.id/jurnal/index.php/jan/article/view/19190
Diterbitkan
2024-02-21
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