Electronic Theses and Dissertation

Penelitian ini bertujuan menganalisis reaksi pasar terhadap publikasi laporan keuangan pada perusahaan sektor manufaktur yang tercatat di Bursa Efek Indonesia periode 2020–2024 melalui pengujian abnormal return. Penelitian ini didasarkan pada teori Efficient Market Hypothesis dan teori signalling yang menjelaskan bahwa informasi publik, khususnya laporan keuangan, dapat memengaruhi keputusan investor dan pergerakan harga saham. Metode penelitian yang digunakan adalah event study dengan pengukuran Average Abnormal Return (AAR) dan Cumulative Average Abnormal Return (CAAR). Data penelitian merupakan data sekunder yang diperoleh dari laporan keuangan perusahaan, harga saham harian, dan data pasar modal yang dipublikasikan oleh Bursa Efek Indonesia. Penentuan sampel dilakukan menggunakan teknik purposive sampling pada perusahaan manufaktur yang memenuhi kriteria penelitian. Pengujian hipotesis dilakukan menggunakan uji Wilcoxon. Hasil penelitian menunjukkan bahwa publikasi laporan keuangan menimbulkan reaksi pasar yang tercermin melalui abnormal return di sekitar tanggal publikasi, baik pada seluruh laporan keuangan maupun laporan keuangan terjadwal dan triwulan. Temuan ini menunjukkan bahwa informasi laporan keuangan masih memiliki kandungan informasi yang relevan bagi investor di Bursa Efek Indonesia.
Kata Kunci: abnormal return, reaksi pasar, laporan keuangan, event study, sektor manufaktur.

This study aims to analyze market reactions to the publication of financial statements in manufacturing companies listed on the Indonesia Stock Exchange during the 2020–2024 period through abnormal return testing. The study is based on the Efficient Market Hypothesis and Signalling Theory, which explain that public information, particularly financial statements, may influence investor decisions and stock price movements. The research employed an event study method by measuring Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR). The study used secondary data obtained from corporate financial statements, daily stock prices, and capital market data published by the Indonesia Stock Exchange. Samples were selected using the purposive sampling technique on manufacturing companies that met the research criteria. Hypothesis testing was conducted using the Wilcoxon test. The results indicate that the publication of financial statements generated market reactions reflected in abnormal returns around the announcement date, both for all financial statement publications and for scheduled and quarterly financial reports. These findings suggest that financial statement information still contains relevant information for investors in the Indonesian Stock Exchange. Keywords: abnormal return, market reaction, financial statements, event study, manufacturing sector.