PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM PERUSAHAAN PERBANKAN DAN LEMBAGA KEUANGAN NON BANK SEBELUM DAN SESUDAH SUSPEND BEI

Abstract

The purposes of this research is to analyze differences in abnormal return, average abnormal return, and trading volume activity on banking company and nonbank

financial institution’s stocks before and after Indonesia Stock Exchange suspended trading from 26 September to 17 October 2008. This research uses the event study method. In this method, we observe the abnormal return, average abnormal return, and average trading volume activity within 5 days before event date, 5 days after event date. This research uses secondary data, consist of day’s closing price, IHSG, daily trading volume, and the number of shares of stocks. The sample of this research, consist of banking company and non-bank financial institutions that were listed in the Indonesia Stock Exchange in 2008 and have a positive beta of stock. The result of this research shows that: