Comparative Analysis Stock Price Volatility and Abnormal Return Before and After One Round Election (Event Study on the Composite Stock Price Index)
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Abstract
This research aims to test and analyze the average of abnormal return and stock price volatility before and after the implementation of one round of elections. The method used in this research is event study (event study). The data period used in this research is 14 trading days, each of which is 7 days before and 7 days after the election. The focus of this research is on the IHSG on the Stock Exchange market. Data were analyzed using descriptive statistical techniques and statistical difference tests. Meanwhile, hypothesis testing uses test sone sample t test and test paried sample t test. Test results one sample t test shows there is abnormal return which is significant after the announcement of one round of election events, meanwhile the results of average test abnormal return those that have been tested have obtained significant differences abnormal return (AAR) before and after the event, however, the market responded positively to the one-round election event in Indonesia. while the results from the cumulative test are average abnormal return (CAAR), which researchers have tested, found that there was no significant difference in the cumulative average abnormal return (CAAR) before and after the one-round election event in Indonesia.
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How to Cite
Ariani, R., & Kristianto, A. H. (2024). Comparative Analysis Stock Price Volatility and Abnormal Return Before and After One Round Election (Event Study on the Composite Stock Price Index). ProBisnis : Jurnal Manajemen, 15(3), 239–246. Retrieved from http://ejournal.joninstitute.org/index.php/ProBisnis/article/view/497
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Widiarti, T. (2018). Faktor-Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada Perusahaan Yang Terdaftar Di Indeks Lq 45. Journal Of Chemical Information And Modeling, 53(9), 1689–1699.
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Cooper Dan Emory. (1997). Statistik Dasar.
Deni Sunaryo. (2022). Can Indicators From Asset Growth , Dividend Payout Ratio And Earnings Volatility M Resolve Stock Price Volatility Problems. International Journal Of Economics And Management Research, 1(1), 9–18. Https://Doi.Org/10.55606/Ijemr.V1i1.15
Gumanti, T. A. (2018). Teori Sinyal Dalam Manajemen Keuangan. Manajemen Usahawan Indonesia, 38(6), 4–13.
Heriyanto. (2005). Peristiwa Pemilu.Pdf.
Iverson, B. L., & Dervan, P. B. (N.D.). Indeks Harga Saham Gabungan Pada Kondisi Politik. 7823–7830.
Ley 25.632. (2002). Return Saham. 2005.
Lumbantoruan, M. R., Panjaitan, H. P., & Chandra, T. (2021). The Influence Of Covid-19 Events To Vaccination On Abnormal Return And Trading Volume Activity In Idx30 Companies. Journal Of Applied Business And Technology, 2(3), 183–193. Https://Doi.Org/10.35145/Jabt.V2i3.75
Mckinley, C. (2016). 2. Capital Markets. Covering Globalization, 17–31. Https://Doi.Org/10.7312/Schi13174-003
Niki Aulia Dewi, Effendy, L., & Lenap, I. P. (2021). The Analysis Of Abnormal Returns And Trading Volume Activity Before And After Simultaneous General Election In The Year 2019 (Study Of Stocks That Are Included In The Jakarta Islamic Index). Jurnal Riset Mahasiswa Akuntansi, 1(3), 107–116. Https://Doi.Org/10.29303/Risma.V1i3.98
Ningtyas, M. (2014). Pengaruh Pendekatan Keterampilan Taktis Terhadap Ketepatan Smash Bulutangkis Di Sma Muhammadiyah 1 Kota Pontianak. Bintang: Jurnal Pendidikan Dan Sains, 1(3), 32–41. Https://Www.Ejournal.Stitpn.Ac.Id/Index.Php/Bintang/Article/View/716/476
Nursalam, & Fallis, A. . (2020). Return Dan Rasio Saham Indeks. Journal Of Chemical Information And Modeling, 53(9), 1689–1699.
Permata, P. (2020). Jurusan Manajemen Fakultas Ekonomi Universitas Negeri Semarang 2020. Profitabilitas Sebagai Pemoderasi Pengaruh Corporate Governance Dan Kinerja Modal Intelektual Terhadap Pengungkapan Modal Intelektual, 18–30.
Rismawati, N., & Sugiman, S. (2022). Long Memory Volatility Model Dengan Arfima-Hygarch Untuk Meramalkan Return Indeks Harga Saham Gabungan (Ihsg). Unnes Journal Of Mathematics, 11(1), 80–91. Https://Doi.Org/10.15294/Ujm.V9i1.36464
Rosyida, H., Firmansyah, A., & Wicaksono, S. B. (2020). Volatilitas Harga Saham: Leverage, Ukuran Perusahaan, Pertumbuhan Aset. Jas (Jurnal Akuntansi Syariah), 4(2), 196–208. Https://Doi.Org/10.46367/Jas.V4i2.256
Setyawasih, R. (2007). Suatu Tentang Peristiwa (Event Study). Jurnal Optimal, 1(1), 52–58. Https://Www.Neliti.Com/Id/Publications/4425/
Smith, V., Devane, D., Begley, C. M., Clarke, M., Penelitian, B. M., Surahman, Rachmat, M., Supardi, S., Saputra, R., Nuryadi, Tutut Dewi Astuti, Endang Sri Utami, Martinus Budiantara, Sastroasmoro, S., Çelik, A., Yaman, H., Turan, S., Kara, A., Kara, F., … Hastono, S. P. (2017). Ekspetasi Return. Journal Of Materials Processing Technology, 1(1), 1–8. Http://Dx.Doi.Org/10.1016/J.Cirp.2016.06.001%0ahttp://Dx.Doi.Org/10.1016/J.Powtec.2016.12.055%0ahttps://Doi.Org/10.1016/J.Ijfatigue.2019.02.006%0ahttps://Doi.Org/10.1016/J.Matlet.2019.04.024%0ahttps://Doi.Org/10.1016/J.Matlet.2019.127252%0ahttp://Dx.Doi.O
Solihah, R. (2018). Peluang Dan Tantangan Pemilu Serentak 2019 Dalam Perspektif Politik. Jurnal Ilmiah Ilmu Pemerintahan, 3(1), 73. Https://Doi.Org/10.14710/Jiip.V3i1.3234
Solihati, G. P. (2019). Analysis Of Factors Affecting Abnormal Return Stock In Private Banking Sector Registered In Indonesia Stock Exchange. International Journal Of Academic Research In Accounting, 9(2), 164–171. Https://Doi.Org/10.6007/Ijarafms/V9-I2/6108
Sujana, I. N. (2017). Pasar Modal Yang Efisien. Ekuitas: Jurnal Pendidikan Ekonomi, 5(2), 33–40. Https://Doi.Org/10.23887/Ekuitas.V5i2.12753
Viera Valencia, L. F., & Garcia Giraldo, D. (2019). Abnormal Return 2. Angewandte Chemie International Edition, 6(11), 951–952., 2, 28–53.
Widiarti, T. (2018). Faktor-Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada Perusahaan Yang Terdaftar Di Indeks Lq 45. Journal Of Chemical Information And Modeling, 53(9), 1689–1699.
Widodo, H., Nomor, U. U., Tentang, T., & Presiden, P. (2014). Pemilihan Umum Presiden Dan Wakil Presiden Yang Hanya Berlangsung Satu Putaran Pada Tahun 2014 Pemilihan Umum Presiden Dan Wakil Presiden Yang Hanya Berlangsung Satu Putaran Pada Tahun 2014 Nita Fitria Abstrak Abstract Chapter 159 Section ( 1 ) Of Law No . 1–6.