Pengaruh Performa Tim terhadap Return Saham Klub Sepak Bola yang Terdaftar di Pasar Saham

Aldin Fabella Budiono; Meinanda Kurniawan

doi:10.69693/ijmst.v4i3.13251

Authors

Aldin Fabella Budiono Universitas Padjadjaran
Meinanda Kurniawan Universitas Padjadjaran

DOI:

https://doi.org/10.69693/ijmst.v4i3.13251

Keywords:

Performa Tim, Abnormal Return, Saham Klub Sepak Bola, Liga, Cup

Abstract

Penelitian ini menguji hubungan performa tim dengan abnormal return saham klub sepak bola yang terdaftar di bursa. Desain event study diterapkan pada 5.093 observasi liga dan 2.258 observasi cup dari 13 klub Eropa selama musim 2014/15-2024/25. Cumulative abnormal return (CAR) lima hari perdagangan dihitung menggunakan Capital Asset Pricing Model dan dianalisis melalui regresi OLS dengan fixed effects klub dan musim serta standard error yang dikelompokkan pada level klub. Pada taraf lima persen, kemenangan liga berkaitan dengan CAR 1,996 poin persentase lebih tinggi daripada hasil seri, sedangkan kekalahan liga berkaitan dengan CAR 0,762 poin persentase lebih rendah. Kemenangan cup tidak signifikan dan kekalahan cup hanya memberikan bukti marginal. Surprise signifikan pada cup dan marginal pada liga, sedangkan interaksi pooled tidak membuktikan perbedaan efek surprise antarjenis kompetisi. Moderasi big match hanya muncul pada ukuran tertentu: indikator big match umum untuk kemenangan dan kekalahan liga, close odds untuk kemenangan liga, serta giants clash untuk kekalahan cup. Persentase kemenangan tiga dan lima pertandingan sebelumnya serta perbaikan peringkat tiga pertandingan berhubungan positif dengan CAR liga, sedangkan ukuran sepuluh pertandingan tidak signifikan. Tahap kompetisi dan proksi kekalahan fase gugur tidak signifikan; proksi kemenangan fase gugur hanya marginal. Temuan menunjukkan bahwa respons pasar bersifat selektif dan bergantung pada hasil, ekspektasi, konteks kompetisi, dan performa terkini, sementara sebagian besar efek tahapan cup tidak didukung.

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