REAKSI INDEKS SAHAM LQ45 TERHADAP PERISTIWA POLITIK DAN KEAMANAN NASIONAL (Event Study : Peristiwa Kerusuhan Tanjung Priok, Pengunduran Diri Menteri Keuangan Sri Mulyani, dan Bentrok Berdarah di Ampera)

Wahyu Jayanthi, Septy and Iskandar, Zulkarnain (2012) REAKSI INDEKS SAHAM LQ45 TERHADAP PERISTIWA POLITIK DAN KEAMANAN NASIONAL (Event Study : Peristiwa Kerusuhan Tanjung Priok, Pengunduran Diri Menteri Keuangan Sri Mulyani, dan Bentrok Berdarah di Ampera). Undergraduated thesis, Fakultas Ekonomi UNIB.

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Abstract

The purposes of this research is to analyze differences in average abnormal return and average trading volume activity on LQ-45 stocks before and after three National politic event during 2010. This research uses the event study method. In this method, we observe the average abnormal return and the average trading volume activity within 5 days before and after the event date. This research uses secondary data. The data is collected from Indonesia Stock Exchange and Home Online Trading System (HOTS) eTrading Securites. The data of this research consist of: day’s closing price, index of LQ-45 stocks and daily trading volume. The sample of this research consists of LQ-45 stocks that were listed in the Indonesia Stock Exchange. The result shows that: (1) based on the statistical test on the average abnormal return during the event, the finding is that there is an average abnormal return but not significant before and after the three National politic event. Most of the abnormal returns are negative: it means that the information from the event is a bad news. (2) From the paired sample test of the average trading volume activity before and after the three National politic event, it shows that statistically there is no significant difference before and after the event.

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