Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia
Abstract
This study examines the information content in political events in 2019, namely the appointment of the president and vice president and the announcement of the Kabinet Indonesia Maju. Market reaction is measured by abnormal returns, security return variability, and trading volume activity. The observation period in this study was five days before and after the event, with a sample of 20 companies affiliated with the winner of the election and 25 companies at the announcement of the Indonesian Maju Cabinet. The results of hypothesis testing indicate that there is a difference in the average abnormal return in the event of the appointment of the elected president and vice president, but there is no difference in security return variability and trading volume activity. Furthermore, hypothesis testing shows that there is a significant difference in average trading volume activity before and after the announcement of the Kabinet Indonesia Maju, but there is no difference in abnormal return and security return variability.
Keywords: Market Efficiency; Event Studies; Abnormal Returns; Security Return Variability; Trading Volume Activity.
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References
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Obradovic, S., & Tomic, N. (2017). The effect of presidential election in the USA on stock return flow – a study of a political event. Economic Research-Ekonomska Istraživanja.
Pastor, L., & Veronesi, P. (2012). Uncertainty About Government Policy and Stock Prices. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1625845
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Sajid Nazir, M., Younus, H., Kaleem, A., & Anwar, Z. (2014). Impact of political events on stock market returns: empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), 60–78. https://doi.org/10.1108/jeas-03-2013-0011
Setiawan, D., & Maret, U. S. (2008). An Analysis Of Market Reaction To CEO Turnover Announcement : 7(2), 119–128.
Shen, C. H., & Lin, C. Y. (2015). Betting on presidential elections: Should we buy stocks connected with the winning party? Quarterly Review of Economics and Finance, 56, 98–109. https://doi.org/10.1016/j.qref.2014.09.007
Suleman, M. T. (2012). Stock Market Reaction to Good and Bad Political News. Asian Journal of Finance & Accounting, 4(1). https://doi.org/10.5296/ajfa.v4i1.1705
Wisniewski, T. P. (2016). Is there a link between politics and stock returns? A literature survey. International Review of Financial Analysis, 47, 15–23. https://doi.org/10.1016/j.irfa.2016.06.015
Yeh, Y.-H., Shu, P.-G., & Chiu, S.-B. (2013). Political connections, corporate governance and preferential bank loans. Pacific-Basin Finance Journal, 21(1), 1079–1101. https://doi.org/https://doi.org/10.1016/j.pacfin.2012.08.003
Zaqi, M. (2006). Reaksi Pasar Modal Indonesia Terhadap Peristiwa – Peristiwa Ekonomi Dan Peristiwa – Peristiwa Sosial-Politik Dalam Negeri (Studi Pada Saham LQ45 Di BEJ Periode 1999-2003). Tesis, Semarang: Universitas Diponegoro.
Arviani, H. A., & Khoirunnisa, R. M. (2020). Reaksi Saham Indeks Jii Terhadap Pengumuman Reshuffle Kabinet Kerja Tahun 2015 Di Bursa Efek Indonesia. Jurnal Fokus Manajemen Bisnis, 7(1), 36. https://doi.org/10.12928/fokus.v7i1.1706
Bamidele, Ibrahim, & Omole. (2018). Financial Reporting Quality and Its Effect on Investment Decisions By Nigerian Deposit Money Banks. European Journal of Accounting, Auditing and Finance Research, 6(4), 23–34. Retrieved from www.eajournals.org
Bechtel, M. M. (2009). The political sources of systematic investment risk: Lessons from a consensus democracy. Journal of Politics, 71(2), 661–677. https://doi.org/10.1017/S0022381609090525
Chaney, P. K., Faccio, M., & Parsley, D. (2011). The quality of accounting information in politically connected firms. Journal of Accounting and Economics, 51(1–2), 58–76. https://doi.org/10.1016/j.jacceco.2010.07.003
Chavali, K., Alam, M., & Rosario, S. (2020). Stock market response to elections: An event study method. Journal of Asian Finance, Economics and Business, 7(5), 9–18. https://doi.org/10.13106/JAFEB.2020.VOL7.NO5.009
Faccio, M. (2011). Differences between Politically Connected and Non-Connected Firms: A Cross Country Analysis. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.918244
Fama, E. F., & French, K. R. (2005). Financing decisions: who issues stock? Journal of Financial Economics, 76, 549–582. https://doi.org/10.1016/j.jfineco.2004.10.003
Fidiana, F. (2020). Market Reaction on the Announcement of Elected President. Journal of Accounting and Strategic Finance, 3(1), 71–87. https://doi.org/10.33005/jasf.v3i1.77
Flore, C., Kolaric, S., & Schiereck, D. (2017). Settlement agreement types of federal corporate prosecution in the U.S. and their impact on shareholder wealth. Journal of Business Research, 76, 145–158. https://doi.org/https://doi.org/10.1016/j.jbusres.2017.03.015
Ghofar, A., & Aunilah, R. A. (2016). The influence of accrual anomaly and winner-loser anomaly on abnormal return: The Indonesian evidence. DLSU Business and Economics Review, 26(1), 101–121.
Gupta, A., Misra, L., & Shi, Y. (2017). Product-market competitiveness and investor reaction to corporate governance failures. International Review of Economics & Finance, 48, 134–147. https://doi.org/https://doi.org/10.1016/j.iref.2016.11.014
Irshad, H. (2017). Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility. Studies in Business and Economics, 12(2), 70–99. https://doi.org/10.1515/sbe-2017-0023
Jiun, R. C. C. (2018). The effect of political elections on stock market volatility in Malaysia. International Journal of Engineering and Technology(UAE), 7(3), 114–119. https://doi.org/10.14419/ijet.v7i3.21.17105
KARPOFF, J. M. (1986). A Theory of Trading Volume. The Journal of Finance, 41(5), 1069–1087. https://doi.org/10.1111/j.1540-6261.1986.tb02531.x
McNichols, M., & Manegold, J. G. (1983). The effect of the information environment on the relationship between financial disclosure and security price variability. Journal of Accounting and Economics, 5(C), 49–74. https://doi.org/10.1016/0165-4101(83)90005-8
Mei, J., & Guo, L. (2004). Political uncertainty, financial crisis and market volatility. European Financial Management, 10(4), 639–657. https://doi.org/10.1111/j.1354-7798.2004.00269.x
Mnasri, A., & Essaddam, N. (2021). Impact of U.S. presidential elections on stock markets’ volatility: Does incumbent president’s party matter? Finance Research Letters, 39(May), 101622. https://doi.org/10.1016/j.frl.2020.101622
Musyarrofah, A. (2016). Reaksi Pasar Modal Indonesia Sebelum dan Sesudah Reshuffle Kabinet 12 Agustus 2015 (Event Study pada Saham Anggota LQ 45 Tahun 2015). Jurnal Akuntansi Unesa, 4(3), 1–18. Retrieved from
https://jurnalmahasiswa.unesa.ac.id/index.php/jurnal-akuntansi/article/view/15084
Nida, D. R. P. P., Yoga, I. G. A. P., & Adityawarman, I. M. G. (2020). Analisis Reaksi Pasar Modal Terhadap Peristiwa Pemilu Serentak Tahun 2019. WICAKSANA: Jurnal Lingkungan Dan Pembangunan, 4(1), 64–73. https://doi.org/10.22225/wicaksana.4.1.1813.64-73
Nurlita, V., & Naomi, P. (2019). Do Political Events Affect Stock Return Volatility On Indonesian Stock Exchange. Journal of Economics, Business & Accountancy Ventura, 22(1), 29–38. https://doi.org/10.14414/jebav.v22i1.1215
Obradovic, S., & Tomic, N. (2017). The effect of presidential election in the USA on stock return flow – a study of a political event. Economic Research-Ekonomska Istraživanja.
Pastor, L., & Veronesi, P. (2012). Uncertainty About Government Policy and Stock Prices. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1625845
Primastono, I. (2006). Analisis Perbandingan Peristiwa Pengumuman Kabinet Gotong Royong Dan Kabinet Indonesia Bersatu Terhadap Reaksi Harga Saham Dan Likuiditas Saham. Retrieved from http://eprints.undip.ac.id/17797/
Ratnaningsih, A. (2020). Abnormal Return, Trading Volume Activity , Dan Security Return Variability Sebelum Dan Sesudah Pengumuman Hasil Pemilu Presiden Indonesia Tanggal 21 Mei 2019 (Studi Pada Perusahaan Yang Tercatat Sebagai Anggota Indeks LQ 45). 1–23.
Sajid Nazir, M., Younus, H., Kaleem, A., & Anwar, Z. (2014). Impact of political events on stock market returns: empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), 60–78. https://doi.org/10.1108/jeas-03-2013-0011
Setiawan, D., & Maret, U. S. (2008). An Analysis Of Market Reaction To CEO Turnover Announcement : 7(2), 119–128.
Shen, C. H., & Lin, C. Y. (2015). Betting on presidential elections: Should we buy stocks connected with the winning party? Quarterly Review of Economics and Finance, 56, 98–109. https://doi.org/10.1016/j.qref.2014.09.007
Suleman, M. T. (2012). Stock Market Reaction to Good and Bad Political News. Asian Journal of Finance & Accounting, 4(1). https://doi.org/10.5296/ajfa.v4i1.1705
Wisniewski, T. P. (2016). Is there a link between politics and stock returns? A literature survey. International Review of Financial Analysis, 47, 15–23. https://doi.org/10.1016/j.irfa.2016.06.015
Yeh, Y.-H., Shu, P.-G., & Chiu, S.-B. (2013). Political connections, corporate governance and preferential bank loans. Pacific-Basin Finance Journal, 21(1), 1079–1101. https://doi.org/https://doi.org/10.1016/j.pacfin.2012.08.003
Zaqi, M. (2006). Reaksi Pasar Modal Indonesia Terhadap Peristiwa – Peristiwa Ekonomi Dan Peristiwa – Peristiwa Sosial-Politik Dalam Negeri (Studi Pada Saham LQ45 Di BEJ Periode 1999-2003). Tesis, Semarang: Universitas Diponegoro.
Published
2021-07-25
How to Cite
KEMUNING, Ni Luh Dea; PRIANTHARA, Ida Bagus Teddy; WISTAWAN, I Made Andika Pradnyana.
Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 7, p. 1746-1759, july 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/72868>. Date accessed: 26 apr. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i07.p11.
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