Capital Market Responses to the G20 Summit Events in Indonesia: An Analytical Study
Abstract
By calculating abnormal return, the study aims to analyzing how the capital market responded to the large holding of the G20 Indonesia Summit both before and after the event. With an observation duration of eleven days, this study is an event study. Sampling was carried out purposively to select 76 energy sector issuers listed on the Indonesia Stock Exchange. The Wilcoxon signed ranks test was used to evaluate the data. Based on study findings, the average abnormal return before and after Indonesia hosted the G20 Summit did not differ. The findings of this study indicate that information from the G20 Summit has not been considered important enough to influence the market. Investors are able to anticipate the energy transition agreement during the G20 Summit so that they do not rush to invest around the event.
Keywords: Event Study, Market Reaction, Abnormal Return, G20 Summit.
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References
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Mari’a, H. A., & Harlendro. (2016). Reaksi Pasar Modal Indonesia terhadap Peristiwa Masyarakat Ekonomi ASEAN (MEA) 2015 (Studi Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia). Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view.2901.
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Prameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi, 944. https://doi.org/10.24843/eja.2018.v22.i02.p05.
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Riyadi, S., Sujito, & Rinawati, T. (2019). Reaksi Pasar Modal Sebelum dan Sesudah Peristiwa Upacara Pembukaan Asean Games 2018 di Jakarta. Dinamika Sosial Budaya, 21(1), 57–67. https://dx.doi.org/10.266623/jdsb.v21i1.1504.
Sahl, E. A. F., Wijayanto, A., & Listyorini, S. (2023). Reaction of the Indonesian capital market to the conflict between Russia and Ukraine: Event study approach to abnormal return and trading volume activity of coal issuers’ shares on the IDX. World Journal of Advanced Research and Reviews, 18(1), 197–205. https://doi.org/10.30574/wjarr.2023.18.1.0576.
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Saputra, D. R., Utami, E. S., & Sumani. (2021). Respons Pasar Modal pada Peristiwa Pertemuan IMF dan Bank Dunia di Indonesia (Event Study Perusahaan Manufaktur Subsektor Food and Beverage yang Terdaftar di BEI). Bisma: Jurnal Bisnis Dan Manajemen, 15(3), 191–199. https://jurnal.unej.ac.id/index.php/BISMA.
Smeets, D., & Zimmermann, M. (2013). Did the EU Summits Succeed in Convincing the Markets during the Recent Crisis? Journal of Common Market Studies, 51(6), 1158–1177. https://doi.org/10.1111/jcms.12062.
Veraros, N., Kasimati, E., & Dawson, P. (2004). The 2004 Olympic Games announcement and its effect on the Athens and Milan stock exchanges. Applied Economics Letters, 11(12), 749–753. https://doi.org/10.1080/1350485042000254584.
Wahyudhi, P. S., & Agung Suaryana, I. G. N. (2019). Reaksi Pasar Atas Kesepakatan Investasi Bidang Infrastruktur dalam Pertemuan International Monetary Fund-World Bank 2018. E-Jurnal Akuntansi, 616. https://doi.org/10.24843/eja.2019.v27.i01.p23.
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia terhadap Paket Kebijakan Ekonomi Tahap I Jokowi-JK (Studi pada Saham LQ45 Periode Agustus 2015-Februari 2016). Media Ekonomi Dan Manajemen, 32(1).
Wijaya, K., & Gunawan, H. (2019). Reaksi Pasar Modal Indonesia Terhadap Kesepakatan Investasi Antara Pemerintah Indonesia dengan Pemerintah Arab Saudi. In Journal of Business Administration, 3(2).
Yousaf, I., Patel, R., & Yarovaya, L. (2022). The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach. Journal of Behavioral and Experimental Finance, 35. https://doi.org/10.1016/j.jbef.2022.100723.
Yulita, I. K. (2017). Reaksi Pasar Modal terhadap Pengumuman Keputusan Investasi Raja Salman di Indonesia. Jurnal Studi, 21(1), 95–106. https://e-journal.usd.ac.id/index.php/JP/article/view/911.
Andreas, Gumanti, T. A., Nurjannah, U., & Awwaliyah, I. N. (2020). The effect of announcement as the host of XVIII Asian games on the Indonesian stock market. Investment Management and Financial Innovations, 17(1), 109–118. https://doi.org/10.21511/imfi.17(1).2020.10.
Azisanabely, M. N. (2020). Reaksi Pasar Modal terhadap Penyelenggaraan Asian Games 2018 di Indonesia (Event Study pada Saham Lq-45 di Bursa Efek Indonesia). Jurnal Ilmiah Mahasiswa FEB, 8(2), 1–17.
Bailey, B. A., Heck, J. L., & Wilkens, K. A. (2005). International Mutual Fund Performance and Political Risk. In Review of Pacific Basin Financial Markets and Policies (Vol. 8, Issue 1). www.worldscientific.com.
Berman, G., Brooks, R., & Davidson, S. (2000). The Sydney Olympic Games announcement and Australian stock market reaction. Applied Economics Letters, 7(12), 781–784. https://doi.org/10.1080/135048500444796.
Bowman, R. G. (1983). Understanding and Conducting Event Studies. Journal of Business Finance & Accounting.
Brown, S. J., & Warner, J. B. (1985). The Case of Event Studies. In Journal of Financial Economics (Vol. 14). North-Holland Using Daily Stock Return.
Dahlstrom, A., & Winstedt, J. (2017). Measuring The Impact of The 2009 COP15 Copenhagen Summit. Department of National Economics and Statistics, 1–33.
Darmika, I. G. B., & Adiputra, I. M. P. (2020). Analisis Komparatif Saham Lq45 Sebelum dan Sesudah Peristiwa Dikeluarkannya Indonesia dari Daftar Negara Berkembang oleh Kantor Perwakilan Dagang Amerika Serikat (USTR). In Jurnal Ilmiah Mahasiswa Akuntansi) Universitas Pendidikan Ganesha, 11(2).
Dewi, H. K. (2022). Hasil KTT G20 Positif untuk Indonesia, Ini Peluang Investasi Reksadana dan Emas. Bareksa. https://www.bareksa.com/berita/bareksa-navigator/2022-11-22/hasil-ktt-g20-positif-untuk-indonesia-ini-peluang-investasi-reksadana-dan-emas.
Du, X., & Huang, Z. (2021). How does the G20 summit affect land market? Evidence from China. International Journal of Strategic Property Management, 25(6), 432–445. https://doi.org/10.3846/ijspm.2021.15470.
Fama, E. F. (1970). American Finance Association Efficient Capital Markets: A Review of Theory and Empirical Work Efficient Capital Markets: A Review Of Theory And Empirical Work. In Source: The Journal of Finance, 25(2).
Gunawan, D. N. P. H., & Wirama, D. G. (2023). Reaksi Pasar atas Pergantian Nama Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2012–2022. Jurnal Samudra Ekonomi Dan Bisnis, 15(1), 89–99. https://doi.org/10.33059/jseb.v15i1.8197.
Hartono, J. (2015). Teori Portofolio dan Analisis Investasi. Edisi Kesepuluh. BPFE.
Hayduk, T. (2022). Who Benefitted From the PyeongChang Olympic Announcement? Evidence From the South Korean Stock Market. Journal of Sports Economics, 23(1), 39–75. https://doi.org/10.1177/15270025211030161.
Hidayah, A. (2022). Saham Batubara Longsor Berjamaah, Emiten Ini Paling Boncos. CNBC Indonesia. https://www.cnbcindonesia.com/market/20221115152024-17-388178/saham-batubara-longsor-berjamaah-emiten-ini-paling-boncos.
Irmayani, N. W. D., & Purbawangsa, I. B. A. (2019). The Impact of Events Around Opening of ASIAN Games 2018 on Market Reactions of Good Industry Consumer Sectors in Indonesia Stock Exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 86(2), 148–154. https://doi.org/10.18551/rjoas.2019-02.17.
Langer, V. C. E., Maennig, W., & Richter, F. (2018). The Olympic Games as a News Shock: Macroeconomic Implications. Journal of Sports Economics, 19(6), 884–906. https://doi.org/10.1177/1527002517690788.
Larasasati, C., & Desy Natasya, E. (2017). Peran Indonesia di G-20: Peluang dan Tantangan. Jurnal Hubungan Internasional, 10(2).
Lo Duca, M., & Stracca, L. (2015). Worth the hype? The effect of G20 summits on global financial markets. Journal of International Money and Finance, 53, 192–217. https://doi.org/10.1016/j.jimonfin.2015.01.003.
Mari’a, H. A., & Harlendro. (2016). Reaksi Pasar Modal Indonesia terhadap Peristiwa Masyarakat Ekonomi ASEAN (MEA) 2015 (Studi Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia). Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view.2901.
Mishra, S., Vyas, V., & Kumar Meena, V. (2021). Abnormal Return and Impact of Information of Natural Disaster on the Indian Stock Market. Journal of Commerce & Accounting Research, 10(3), 23–25. https://orcid.org/0000-0003-3570-9813.
Nazir, S. M., Younus, H., Kaleem, A., & Anwar, Z. (2014). Impact of political events on stock market return: empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), 60–78. https://doi.org/10.1108/jeas-03-2013-0011.
Okpiani, W. A., & Khoiriawati, N. (2022). Estimasi Perbedaan Harga Saham dan Volume Perdagangan Saham Sektor Perbankan Syariah di Indonesia Studi Peristiwa: KTT G20 di Bali Tahun 2022. Malia: Jurnal Ekonomi Islam, 14(1), 309–328. https://doi.org/10.35891/ml.v14i1.3778.
Pham, H., Al-Hares, O., Ramiah, V., Moosa, N., & Veron, J. F. (2019). Measuring the effect of the North Korea-U.S. summit on the South Korean stock market. Cogent Economics and Finance, 7(1). https://doi.org/10.1080/23322039.2019.1690212.
Prameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi, 944. https://doi.org/10.24843/eja.2018.v22.i02.p05.
Putri, A. M. H. (2022). Bedah Kesepakatan Transisi Energi G20! Siap Tanpa Batu Bara? CNBC Indonesia.
Riyadi, S., Sujito, & Rinawati, T. (2019). Reaksi Pasar Modal Sebelum dan Sesudah Peristiwa Upacara Pembukaan Asean Games 2018 di Jakarta. Dinamika Sosial Budaya, 21(1), 57–67. https://dx.doi.org/10.266623/jdsb.v21i1.1504.
Sahl, E. A. F., Wijayanto, A., & Listyorini, S. (2023). Reaction of the Indonesian capital market to the conflict between Russia and Ukraine: Event study approach to abnormal return and trading volume activity of coal issuers’ shares on the IDX. World Journal of Advanced Research and Reviews, 18(1), 197–205. https://doi.org/10.30574/wjarr.2023.18.1.0576.
Sahputra, A., Lindrianasari, Dharma, F., & Amelia, Y. (2022). Analisis Perbandingan Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Diumumkannya Kasus Pertama Covid-19. Jurnal Akuntansi Bisnis, 15(1). https://doi.org/10.30813/jab.v15i1.2796.
Sandria, F. (2022). KTT G20 Berakhir, IHSG Bisa Dapat Berkah Apa Hari Ini? CNBC Indonesia. https://www.cnbcindonesia.com/research/20221116043948-128-388316/ktt-g20-berakhir-ihsg-bisa-dapat-berkah-apa-hari-ini/1.
Saputra, D. R., Utami, E. S., & Sumani. (2021). Respons Pasar Modal pada Peristiwa Pertemuan IMF dan Bank Dunia di Indonesia (Event Study Perusahaan Manufaktur Subsektor Food and Beverage yang Terdaftar di BEI). Bisma: Jurnal Bisnis Dan Manajemen, 15(3), 191–199. https://jurnal.unej.ac.id/index.php/BISMA.
Smeets, D., & Zimmermann, M. (2013). Did the EU Summits Succeed in Convincing the Markets during the Recent Crisis? Journal of Common Market Studies, 51(6), 1158–1177. https://doi.org/10.1111/jcms.12062.
Veraros, N., Kasimati, E., & Dawson, P. (2004). The 2004 Olympic Games announcement and its effect on the Athens and Milan stock exchanges. Applied Economics Letters, 11(12), 749–753. https://doi.org/10.1080/1350485042000254584.
Wahyudhi, P. S., & Agung Suaryana, I. G. N. (2019). Reaksi Pasar Atas Kesepakatan Investasi Bidang Infrastruktur dalam Pertemuan International Monetary Fund-World Bank 2018. E-Jurnal Akuntansi, 616. https://doi.org/10.24843/eja.2019.v27.i01.p23.
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia terhadap Paket Kebijakan Ekonomi Tahap I Jokowi-JK (Studi pada Saham LQ45 Periode Agustus 2015-Februari 2016). Media Ekonomi Dan Manajemen, 32(1).
Wijaya, K., & Gunawan, H. (2019). Reaksi Pasar Modal Indonesia Terhadap Kesepakatan Investasi Antara Pemerintah Indonesia dengan Pemerintah Arab Saudi. In Journal of Business Administration, 3(2).
Yousaf, I., Patel, R., & Yarovaya, L. (2022). The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach. Journal of Behavioral and Experimental Finance, 35. https://doi.org/10.1016/j.jbef.2022.100723.
Yulita, I. K. (2017). Reaksi Pasar Modal terhadap Pengumuman Keputusan Investasi Raja Salman di Indonesia. Jurnal Studi, 21(1), 95–106. https://e-journal.usd.ac.id/index.php/JP/article/view/911.
Published
2025-05-26
How to Cite
CAHYANI, Ni Ketut Bintang; ARIYANTO, Dodik.
Capital Market Responses to the G20 Summit Events in Indonesia: An Analytical Study.
E-Jurnal Akuntansi, [S.l.], v. 35, n. 5, may 2025.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/113759>. Date accessed: 14 oct. 2025.
doi: https://doi.org/10.24843/EJA.2025.v35.i05.p02.
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