REAKSI PASAR MODAL TERHADAP PERISTIWA POLITIK DI INDONESIA 2014

Abstract

This event study events that aims to find empirical evidence of the presence or absence of capital market reactions to political events in Indonesia during political year of 2014. The events contained in the political event that is, the determination of the presidential candidates, after candidate debate, the determination of the quick count results, results decision by the General election Commission (KPU) and the results of the decision by the Court, by using the indicator stock returns. The population in these study are all companies listed in the Indonesia Stock Exchange (IDX), and the data used in these study are secondary data which is daily closing stock price over a period of five days before, and five days after the event. The statistical test used to reject the hypothesis is different test Wilcoxon Signed Rank test and Paired Samples t-Test. Test results Wilcoxon Signed Rank Test in the event the determination of presidential candidates and post-debate observed, proving that there is no difference in the before-after the return of the political event. While Paired Samples t-Test results on event results count quik experienced statistically significant difference before-after event which means the market responds to this event as good news, Paired Samples t-Test results also showed the event results and outcomes deacision by KPU and the result of Commission decision by the Court do indicate that there are no difference in returns before-after event. This study imply that political events partially have information contents during political events (Presidential election) in Indonesia.

Key words: Stock Return, Event Studies, Capital Markets