Stock Market Reaction to the Merger of State-Owned Islamic Banks

ABSTRAK

Penelitian ini bertujuan mengetahui bagaimana reaksi pasar terhadap  pengumuman  merger bank syariah BUMN, yaitu BRI Syariah, Bank Syariah Mandiri, dan Bank BNI Syariah menjadi bank Syariah Indonesia, sehingga diketahui efisiensi pasarnya. Penelitian ini menggunakan pendekatan kuantitatif degan metode event study untuk meganalisis reaksi pasar terhadap suatu peristiwa. Ada atau tidak adanya reaksi pasar akan diukur melalui variabel abnormal return (AR) dan trading volume activity (TVA). Subyek penelitian ini adalah BRI Syariah (BRIS) yang merupakan existing company merger dan satu-satunya yang sudah listing di Bursa Efek Indonesia (BEI). Teknik analisis yang digunakan adalah Uji Paired Sample t-Test pada AR dan TVA. Hasil penelitian ini menunjukkan tidak terdapat perbedaan abnormal return yang signifikan sebelum dan sesudah pengumuman merger, namun signifikan pada TVA. Bagi investor, pengumuman merger direaksi oleh pasar secara positif, namun tidak berlebihan sehingga tidak memberikan abnormal return yang signifikan. Adanya keputusan merger membuat pasar saham lebih aktif yang ditandai dengan meningkatnya TVA. Lebih lanjut, adanya informasi merger perusahaan tidak selalu disertai dengan abnormal return. Maka dari itu, investor disarankan untuk tidak melakukan spekulasi berlebihan menghadapi informasi merger tersebut.

Kata Kunci: Bank Syariah, Merger, Abnormal Return, Volume Perdagangan.

ABSTRACT

This study aims to determine how the market reaction to the announcement of the merger of state-owned Islamic banks, namely BRI Syariah, Bank Syariah Mandiri, and Bank BNI Syariah to become Indonesian Islamic banks, so that market efficiency is known. This research uses a quantitative approach with the event study method to analyze the market reaction to an event. The presence or absence of market reaction will be measured through abnormal return (AR) and trading volume activity (TVA) variables. The subject of this research is BRI Syariah (BRIS) which is the existing company merger and the only one that has been listed on the Indonesia Stock Exchange (IDX). The analytical technique used is the Paired Sample t-Test on AR and TVA. The results of this study indicate that there is no significant difference in abnormal returns before and after the announcement of the merger, but it is significant for TVA. For investors, the market reacted positively to the announcement of the merger, but not excessively so that it did not provide a significant abnormal return. The merger decision made the stock market more active, which was marked by an increase in TVA. Furthermore, information about company mergers is not always accompanied by abnormal returns. Therefore, investors are advised not to make excessive speculation regarding the merger information.

Keywords: Bank Shariah, Merger, Abnormal Return, Trading Volume Activity.

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