REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA POLITIK SEBELUM DAN SETELAH PELANTIKAN PRESIDEN PRABOWO-GIBRAN

(EVENT STUDY PADA INDEKS SAHAM LQ45)

THE REACTION OF THE INDONESIAN CAPITAL MARKET TO POLITICAL EVENTS BEFORE AND AFTER THE INAUGURATION OF PRESIDENT PRABOWO-GIBRAN

(EVENT STUDY ON THE LQ45 STOCK INDEX)

Penelitian ini bertujuan untuk menganalisis reaksi pasar modal Indonesia terhadap peristiwa pelantikan Presiden Prabowo-Gibran menggunakan metode studi peristiwa. Variabel penting dalam penelitian ini yaitu abnormal return dan trading volume activity, dengan populasi seluruh perusahaan yang terdaftar dalam indeks saham LQ45. Periode pengamatan dilakukan selama 14 hari. Data berupa harga penutupan saham harian, harga penutupan saham harian IHSG LQ45, volume perdagangan saham harian, serta jumlah saham yang beredar. Uji hipotesis dilakukan dengan uji non-parametrik Wilcoxon Signed Rank Test, karena data berdistribusi tidak normal. Hasilnya menunjukkan bahwa tidak ditemukan perbedaan yang signifikan pada rata-rata abnormal return. Sedangkan pada trading volume activity ditemukan perbedaan rata-rata secara signifikan pada periode sebelum dan setelah peristiwa pelantikan Presiden.

Kata kunci : Pasar Modal, Studi Peristiwa, Reaksi Pasar, Pelantikan Presiden, Abnormal Return, Trading Volume Activity. 

This study aims to analyze the reaction of the Indonesian capital market to the inauguration of President Prabowo-Gibran using the event study method. The important variables in this study are abnormal returns and trading volume activity, with the population of all companies listed in the LQ45 stock index. The observation period was 14 days. The data consists  of daily closing stock  price, daily closing price of LQ45 IHSG, daily trading volume, and the number of shares outstanding. Hypothesis testing was conducted using the non-parametric Wilcoxon Signed Rank Test, as the data is not normally distributed. The results showed that there was no significant difference in  the average abnormal return. However, a significant difference in the average trading volume activity was found between the periods before and after the presidential inauguration event.

Keywords: Capital Market, Event Study, Market Reaction, Presidential Inauguration, Abnormal Return, Trading Volume Activity.