Efektivitas Klasifikasi Industri IDX-IC di Bursa Efek Indonesia
DOI:
https://doi.org/10.38035/jafm.v7i1.3134Keywords:
Abnormal Standardized Return, IDX-IC, Klasifikasi IndustriAbstract
Penelitian berjudul Efektivitas Klasifikasi Industri IDX-IC di Bursa Efek Indonesia bertujuan untuk menguji efektivitas klasifikasi industri baru dalam mengelompokkan perusahaan secara homogen menggunakan Abnormal Standardized Returns (ASR), yang menawarkan pendekatan statistik lebih stabil dibandingkan Abnormal Return konvensional. Menggunakan sampel berpasangan sebanyak 476 perusahaan yang diklasifikasikan berdasarkan tingkat kesamaan sektor tertinggi antara IDX-IC dan JASICA, penelitian ini membandingkan deviasi pengembalian saham perusahaan terhadap tolok ukur (benchmark) sektor pada masing-masing sistem klasifikasi. Analisis data mengungkapkan bahwa secara agregat, pengembalian standar abnormal yang dihasilkan oleh perusahaan dalam kelompok IDX-IC mendekati nol dibandingkan JASICA. Namun, keunggulan ini tidak konsisten di seluruh pasangan sektoral, karena beberapa sektor masih terwakili lebih baik di bawah klasifikasi JASICA. Temuan ini menunjukkan bahwa meskipun IDX-IC menyediakan tolok ukur industri yang lebih efektif pada tingkat agregat, karakteristik spesifik sektor tetap memainkan peran penting dalam klasifikasi akurasi. Secara praktis, hasil ini memberikan wawasan bagi investor dalam meningkatkan portofolio strategi berbasis sektor dan bagi regulator dalam menyempurnakan klasifikasi standar.
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