Analisis Perbedaan Abnormal Return dan Cumulative Abnormal Return Emiten Sektor Keuangan Sekitar Pemilu 17 April 2019
DOI:
https://doi.org/10.26740/jim.v8n3.p852-863Keywords:
abnormal return, cumulative abnormal return, event study.Abstract
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 doesnt 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 didnt contain important information for market participants so the market didnt overreact.
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Sasongko, J., Widiyanti, M., & Taufik. (2015). Reaksi Pasar Modal Atas Peristiwa Pengumuman Presiden Ri 2014 (Studi Pada Saham Sektor Pertambangan Di Bursa Efek Indonesia). Jembatan¯: Jurnal Ilmiah Manajemen, 12(1), 3344. https://doi.org/10.29259/jmbt.v12i1.3123
Sudewa P., D. G. O., & Sari, M. M. R. (2015). Reaksi Pasar Atas Peristiwa Pilpres 2014. E-Jurnal Akuntansi Universitas Udayana, 12(3), 465480.
Suharyati, S., & Hermuningsih, S. (2014). Analisis Perbedaan Abnormal Return dan Volume Perdagangan Saham Sebelum dan Sesudah Pilpres 9 Juli 2014 (Studi Kasus Perusahaan Milik Bakrie Group dan MNC Group). Jurnal Manajemen, 4(2), 1520. https://doi.org/10.26460/jm.v4i2.171
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Bareksa.com. (2019). IHSG Selalu Naik Saat Tahun Pemilu, Sektor Mana Jadi Pilihan? Retrieved March 13, 2020, from https://www.bareksa.com/id/text/2019/02/25/ihsg-selalu-naik-saat-tahun-pemilu-sektor-mana-jadi-pilihan/21697/news
Brigham, E. F., & Houston, J. F. (2014). Dasar-Dasar Manajemen Keuangan Esential of Financial Management (11th ed.). Salemba Empat.
Cnbcindonesia.com. (2019). Real Count KPU 20.45 WIB: Jokowi 55,02% & Prabowo 44,98%. Retrieved May 12, 2020, from https://www.cnbcindonesia.com/news/20190422210525-4-68135/real-count-kpu-2045-wib-jokowi-5502-prabowo-4498
Cnnindonesia.com. (2019). Hasil Quick Count Pilpres Tak Meleset dari Hitung Resmi KPU. Retrieved May 12, 2020, from https://www.cnnindonesia.com/nasional/20190521061318-32-396711/hasil-quick-count-pilpres-tak-meleset-dari-hitung-resmi-kpu
Coulomb, R., & Sangnier, M. (2014). The Impact of Political Majorities on Firm Value¯: Do Electoral Promises or Friendship Connections Matter¯? In Aix Marseille School of Economics Working Papers.
Diniar, A. H., & Kiryanto. (2015). Analisis Dampak Pemilu Presiden Jokowi Terhadap Return Saham (Studi Kasus Saham LQ-45 di Bursa Efek Indonesia). Jurnal Akuntansi Indonesia, 4(2), 97108. https://doi.org/10.30659/jai.4.2.97-108
Ghozali, I. (2018). Aplikasi Analisis Multivariate dengan Program IBM SPSS 25 (9th ed.). Semarang: Badan Penerbit Universitas Diponegoro.
Hanafi, M. M. (2014). Manajemen Keuangan (2nd ed.). Yogyakarta: BPFE.
Hartono, J. (2016). Teori Portofolio dan Analisis Investasi (Kesebelas). Yogyakarta: BPFE.
Kabiru, J. N., Ochieng, D. E., & Kinyua, H. W. (2015). The Effect of General Elections on Stock Returns At the Nairobi Securities Exchange. European Scientific Journal, 11(28), 435460.
Katti, S. W. B. (2018). Pengaruh Peristiwa Politik (Pemilu Presiden dan Pengumuman Susunan Kabinet) Terhadap Saham Sektor Industri Di Bursa Efek Indonesia. Capital Journal, 1(2), 125134.
Kominfo.co.id. (2019). Kementerian Komunikasi dan Informatika. Retrieved May 12, 2020, from https://www.kominfo.go.id/content/detail/18217/hoaks-23-april-2019-prabowo-sandi-unggul-602/0/laporan_isu_hoaks
Kompas.com. (2019). œJokowi Effect, Saham Sektor Infrastruktur dan Properti Bakal Melesat. Retrieved March 13, 2020, from https://money.kompas.com/read/2019/04/19/092905926/jokowi-effect-saham-sektor-infrastruktur-dan-properti-bakal-melesat
KPU.go.id. (2019). KPU - Portal Publikasi Pileg 2019. Retrieved June 15, 2020, from https://infopemilu.kpu.go.id/pileg2019
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Lisa, O. (2012). Asimetri Informasi dan Manajemen Laba: Suatu Tinjauan dalam Hubungan Keagenan. Jurnal WIGA, 2(1), 4249. Retrieved from https://media.neliti.com/media/publications/36615-ID-asimetri-informasi-dan-manajemen-laba-suatu-tinjauan-dalam-hubungan-keagenan.pdf
Luhur, S. (2010). Reaksi Pasar Modal Indonesia Seputar Pemilihan Umum 8 Juli 2009 pada Saham LQ-45. Jurnal Keuangan Dan Perbankan, 14(2), 249262.
Melati, D. A., Saryadi, & Widiartanto. (2015). Analisis Reaksi Pasar Modal atas Peristiwa Pemilihan Presiden 9 Juli 2014 (Event Study pada Indeks Saham LQ-45). Jurnal Ilmu Administrasi Bisnis, 4(2), 284294.
Murekachiro, D. (2014). Opinion polls and the stock market: Evidence from the 2008 US presidential election. Journal of Financial, 2(4), 19.
Nabila, F., & Khairunnisa. (2015). Analisis Perbedaan Abnormal Return Sebelum dan Sesudah Peristiwa Politik (Pemilihan Umum Presiden) di Indonesia dan Singapura (Studi Kasus Terhadap Perusahaan Kelompok LQ45 Di BEI dan Strait Times Index di SGX). E-Proceeding of Management, 2(2), 16401648.
Nazir, M. S., 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), 6078. https://doi.org/10.1108/jeas-03-2013-0011
Niam, N. Y., Achsani, N. A., & Maulana, T. N. A. (2018). Impact of Donald Trump Election on Global Indexes. International Journal of Business and Management Review, 6(3), 116.
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 Istrazivanja, 30(1), 112124. https://doi.org/10.1080/1331677X.2017.1305802
Pratama, I. G. B., Sinarwati, N. K., & Dharmawan, N. A. S. (2015). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Politik ( Event Study pada Peristiwa Pelantikan Joko Widodo Sebagai Presiden Republik Indonesia Ke-7 ). E-Journal S1 AK Universitas Pendidikan Ganesha, 3(1).
Rahmawati, I. A., & Achadiyah, B. N. (2015). Analisis Perbedaan Abnormal Return Saham Sebelum dan Sesudah Putusan Sidang Sengketa Pemilu Presiden 2014 (Studi Kasus Saham di Bursa Efek Indonesia). Jurnal Akuntansi Aktual, 3(1), 110.
Republik Indonesia. Undang-Undang Nomor 8 Tahun 1995 Tentang Pasar Modal. , Pub. L. No. Lembaran Negara RI Tahun 1995, No.64 (1995).
Sasongko, J., Widiyanti, M., & Taufik. (2015). Reaksi Pasar Modal Atas Peristiwa Pengumuman Presiden Ri 2014 (Studi Pada Saham Sektor Pertambangan Di Bursa Efek Indonesia). Jembatan¯: Jurnal Ilmiah Manajemen, 12(1), 3344. https://doi.org/10.29259/jmbt.v12i1.3123
Sudewa P., D. G. O., & Sari, M. M. R. (2015). Reaksi Pasar Atas Peristiwa Pilpres 2014. E-Jurnal Akuntansi Universitas Udayana, 12(3), 465480.
Suharyati, S., & Hermuningsih, S. (2014). Analisis Perbedaan Abnormal Return dan Volume Perdagangan Saham Sebelum dan Sesudah Pilpres 9 Juli 2014 (Studi Kasus Perusahaan Milik Bakrie Group dan MNC Group). Jurnal Manajemen, 4(2), 1520. https://doi.org/10.26460/jm.v4i2.171
Tandelilin, E. (2017). Pasar Modal: Manajemen Portofolio dan Investasi. Yogyakarta: PT Kanisius.
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2020-07-02
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Raya, C. J., & Paramita, R. S. (2020). Analisis Perbedaan Abnormal Return dan Cumulative Abnormal Return Emiten Sektor Keuangan Sekitar Pemilu 17 April 2019. Jurnal Ilmu Manajemen, 8(3), 852–863. https://doi.org/10.26740/jim.v8n3.p852-863
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