REAKSI PASAR TERHADAP PERISTIWA POLITIK DI INDONESIA

• Main Authors: , Yulianto Dwi Nugroho, S.Hut., S.E, , Prof. Dr. Eduardus Tandelilin, M.B.A.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2011
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/89849/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51158
• Institution: Universitas Gadjah Mada

This research is an empirical test of market reaction to the political events that occurred in Indonesia. Those three political events is the resignation of Finance Minister Sri Mulyani, the appointment of Finance Minister Agus Martowardojo, and the appointment of Governor of Bank Indonesia Darmin Nasution, which occurred in 2010. This research uses stocks trading data listed in LQ45 as data samples. This study used the event study method, which aim to whether there are abnormal returns generated in the event period. Results of hypothesis testing indicate that the market reacted to those political events. Hypothesis 1, the resignation of Finance Minister Sri Mulyani event generate negative abnormal returns for investors is proved in this study, although there is also the opposite reaction (positive reaction) on the next day in the event period. Hypothesis 2, the appointment of Finance Minister Agus Martowardojo event generates negative abnormal returns for investors is proved in this study, although there is also an opposite reaction (positive reaction) in the event period. Hypothesis 3, the appointment of Governor of Bank Indonesia Darmin Nasution generates positive abnormal returns for investors is proved in this study, although it also an opposite reaction (negative reaction) on the following days in the event period.