THE IMPACT OF MARKET RISK PREMIUM AND ACTUAL RETURN TO THE CUMULATIVE ABNORMAL RETURN BEFORE AND DURING RUSSIAN-UKRAINE WAR AND ITS RELATED EVENT

• Main Author: Hikham Sabiqie, Ibnu
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/75367
• Institution: Institut Teknologi Bandung

This study investigates the profound implications of the Russian-Ukraine conflict (begun on February 24, 2022) on the global non-cyclical sector, focusing on its impact on Indonesia. The research contextualizes these effects within the fallout of the war, including the CPO export embargo in Indonesia (April 28, 2022), and the G20 summit in Bali (November 15, 2022), all of which critically affect worldwide food security. The research employs event study and abnormal return test methods to analyze industry responses and indices reactions to the conflict within non-cyclical stocks. The study further evaluates whether the prices of listed non-cyclical entities and indices follow a random walk pattern, a potential indicator of semi-strong market efficiency that complicates future price predictions based on past data. Findings reveal that the IHSG COMPOSITE and IDXNONCYC indices follow a random walk pattern, indicative of weak market efficiency, causing forecasting challenges for investors. Notably, the composite and IDXNONCYC indices witnessed significant cumulative abnormal returns following Russia's initial attack on Ukraine. Additionally, IDXNONCYC exhibited significant cumulative abnormal returns across all research events. Different industries within the non-cyclical sector demonstrated varied reactions to the conflict and associated events, with most revealing negative outcomes. Consequently, investors are encouraged to consider technical analysis, rather than fundamental analysis, due to the expression of war-related information in market prices.