PENGARUH ISU POLITIK TERHADAP REAKSI PASAR MODAL INDONESIA

Abstract

This research is aimed to find out the influence of politic issues to the market respons are evaded by the abnormal
return and volume activity of stock trade. This research applies event study in which the observation of window
period to the abnormal return and volume activity of stock trade during 5 days before, event date, and 5 days
after the politic issue has been carried out. The data was collected from Indonesia stock exchange by using daily
closing price of LQ-45 index that have been consistently traded in two periods. The statistic instrument test has
been done by using paired sample t-test and SPSS 23rd program. The result of this research shows that there is
an influence of politics issue to the market reaction which is shown by the differences of abnormal return. It
means that politics issue has positive information for the marketers. Meanwhile the examination to the trade
volume activity shows that there is no influence of politic issue to the market reaction which is shown by the
absence of volume activity of stock trade.
Keywords: Event study, market reaction, politic issue, abnormal return, stock trade volume.