Analisis Perbedaan Abnormal Return dan Cumulative Abnormal Return Emiten Sektor Keuangan Sekitar Pemilu 17 April 2019

Analysis of the Difference between Abnormal Returns and Cumulative Abnormal Returns of Financial Sector Issuers Around the April 17, 2019 Elections

Penelitian ini disusun menggunakan metode event study untuk menganalisis reaksi pasar terhadap peristiwa politik yang dapat diketahui dari perbedaan sebelum dan sesudah peristiwa pemilihan umum 17 April 2019. Periode pengamatan dilakukan selama 11 hari terdiri 5 hari sebelum 1 hari kejadian dan 5 hari sesudah. Populasi data yang digunakan adalah perusahaan sektor keuangan yang tercantum pada periode Januari-April 2019 di Bursa Efek Indonesia kemudian dilakukan pengambilan sampel menggunakan purposive sampling yang diperoleh sebanyak 73 dari 91 perusahaan. Sedangkan teknik amalisis data menggunakan Wilcoxon Signed Rank Test karena data yang dipakai tidak memenuhi asumsi normalitas. Hasil penelitian menunjukan bahwa tidak terdapat perbedaan abnormal return dan cumulative abnormal return emiten sektor keuangan sebelum dan sesudah pemilihan umum 17 April 2019. Dengan demikian peristiwa pemilihan umum 17 April 2019 tidak mengandung informasi yang penting bagi pelaku pasar sehingga pasar tidak terlalu bereaksi.

Kata Kunci : Abnormal Return; Cumulative Abnormal Return; Event Study

This research was prepared using the event study method to analyze the Indonesian capital market reaction to a political event that can be seen from differences in abnormal returns and cumulative abnormal returns of shares before and after the general election event on 17 April 2019. The observation period carried out for 11 days consisted of 5 days before the event date, one-day event date, and 5 days after the event date. The population of the data used are financial sector companies listed in the period January to April 2019 on the Indonesia Stock Exchange, then the sample was taken using a purposive sampling obtained as many as 73 of 91 companies. While the data amalgamation technique uses the Wilcoxon Signed Rank Test because the data used doesn’t meet the assumption of normality. The results showed that there were no differences in abnormal returns and cumulative abnormal returns of financial sector issuers between before and after the general election 17 April 2019. Therefore the general election 17 April 2019 didn’t contain important information for market participants so the market didn’t overreact.

Keywords: Abnormal Return; Cumulative Abnormal Return; Event Study