STOCK MARKET REACTION TO THE 2014 INDONESIAN PRESIDENTIAL ELECTION (Case Of Companies Listed In Kompas-100 Index)

WINDI PRASETYANINGTYAS, 041113019 (2015) STOCK MARKET REACTION TO THE 2014 INDONESIAN PRESIDENTIAL ELECTION (Case Of Companies Listed In Kompas-100 Index). Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

This study aims to investigate whether there is market reaction around the 2014 Indonesian presidential election based on Efficient Market Hypothesis. With statistical analysis to see whether there is abnormal average return, cumulative abnormal return, and average abnormal trading volume. Use event study method with 11 days of event period. With secondary data from yahoo finance and website of IDX, this research use daily closing price of each stock, composite index (IHSG), and trading volume. Expected return calculated using market model. The sample of this research is Kompas-100 index. This research acknowledges that the market is semi-strong efficient indicated by quick price adjustment around candidate and result announcement. This research found the average abnormal return and average abnormal trading volume along event period. In accordance with average abnormal return, the average abnormal trading volume in Kompas-100 index also can be seen from D+2 until D+5 of result announcement. However, there is no significant CAR around candidate and result announcement. AAR of Kompas-100 index around candidate announcement is significantly different with AAR around result announcement. However, the AATV and CAR show no different reaction between candidate announcement and result announcement.

Item Type: Thesis (Skripsi)
Additional Information: KKB KK-2 A 175/15 Pra s
Uncontrolled Keywords: EFFICIENT MARKET
Subjects: H Social Sciences > HC Economic History and Conditions > HC10-1085 Economic history and conditions
Divisions: 04. Fakultas Ekonomi dan Bisnis
Creators:
CreatorsEmail
WINDI PRASETYANINGTYAS, 041113019UNSPECIFIED
Contributors:
ContributionNameEmail
ContributorDr. Andry Irwanto, SE, MBA, Ak., CA, Dr., SE, MBA, Ak., CAUNSPECIFIED
Depositing User: shiefti dyah alyusi
Date Deposited: 28 Jul 2015 12:00
Last Modified: 22 Jul 2016 09:40
URI: http://repository.unair.ac.id/id/eprint/3873
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