Reaksi Pasar Modal Indonesia terhadap Peristiwa Pengesahan UU Cipta Kerja 2020 (Studi Kasus Perusahaan yang Terdaftar pada LQ45)

Indonesian Capital Market Reaction to The Job Creation Act 2020 Legalization (Companies Registered in LQ45 Case Study)

Tujuan dari penelitian ini ialah untuk menganalisis reaksi pasar modal Indonesia pada rata-rata abnormal return, trading volume activity, dan security return variability periode sebelum dan sesudah terjadinya pengesahan UU Cipta Kerja 2020. Penelitian ini ialah  penelitian kuantitatif dengan pendeketan event study. Sampel penelitian merupakan saham yang terdaftar pada LQ45 dengan kriteria tertentu yang ditentukan menggunakan metode purposing sampling. Pengujian hipotesis memakai paired sample t-test dan wilcoxon signed rank test. Penelitian ini mendapatkan hasil bahwa : (1) Adanya perbedaan yang signifikan variabel average abnormal return pada periode sebelum dan sesudah pengesahan UU Cipta Kerja 2020. (2) Tidak adanya perbedaan average trading volume activity antara periode sebelum dan sesudah peristiwa pengesahan UU Cipta Kerja 2020. (3) Adanya perbedaan average security return variablity pada periode sebelum dan sesudah pengesahan UU Cipta Kerja 2020.

The purpose  of this study is to analyze the reaction of the Indonesian capital market on the average abnormal returns, trading volume activity, and security return variability in the period before and after the legalization of the Job Creation Act 2020. This study used quantitative research with event study approach. The research sample is stocks registered in LQ45 with certain criteria determined used the purposing sampling method. Hypothesis testing used paired sample t-test and wilcoxon signed rank test. The results of the hypothesis testing show that: (1) There is a significant difference in the average abnormal return between the period before and after the the Job Creation Act 2020 legalization. (2) There is no significant difference in the average trading volume activity between the periods before and after the Job Creation Act 2020 legalization. (3) There is a significant difference in the average security return variability between the period before and after the Job Creation Act 2020 legalization.