RIZKI ANWAR, 041211332040 (2016) STOCK MARKET REACTION ON THE ISSUANCE OF LAW NO. 4 YEAR 2009 REGARDING MINERAL AND COAL MINING (A Study on Mining Companies Listed in Indonesia Stock Exchange). Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

Law No. 4 Year 2009 regarding Mineral and Coal Mining strictly implies that every licensee of mining companies (Izin Usaha Pertambangan/IUP) and other special business licensees are obliged to establish smelter factories to manage and refine their mineral quality within 5 (five) years after the issuance of UU Minerba 2009 on January 12th 2009. The purpose of this event study-based research is to find out whether or not Indonesian stock market reacted to the law issuance by employing variables of abnormal return and abnormal trading volume in both daily basis and aggregate/cumulative basis. This research uses one sample t-test to discover the existence of significant Average Abnormal Return (AAR), Average Abnormal Trading Volume (AATV), Cumulative Average Abnormal Return (CAAR), and Cumulative Average Abnormal Volume (CAAV) surrounding the issuance of the law. The event windows of this research are 11 days that include 5 days before the law issuance until 5 days after the law issuance while 120 days before the event windows are used as estimation period. The sample of this research is mining companies listed in Indonesia Stock Exchange (IDX). This research result suggests that there is stock market reaction on the issuance of Law No. 4 Year 2009 regarding Mineral and Coal Mining. It is shown by the existence of significant AAR, AATV, and CAAR around the law issuance. However, there is no significant CAAV around the event. It means that the law contains meaningful information for the investors and IDX can be classified as semi-strong efficient market because it reacts to the publicly available information.

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