| Summary: | Abstract
This research is an events study that aims to find empirical evidence of the Indonesian capital market investors' reaction to the event announcement Economic Policy Package Phase I Jokowi - JK. The study population was consistent stocks listed in LQ 45 index over the study period. The data used are secondary data from daily stock price five days before and five days after the event. The statistical test used to test the hypothesis is independent sample t-test and Wilcoxon Signed Rank test.
The result of the calculation of Independent Sample t-test showed that there are significant positive abnormal returns around the date of the event, which means that investors respond to the event announcement Economic Policy Package Phase I Jokowi - JK as good news. Results Wilcoxon Signed Rank Test proved that there is a significant positive difference in the average abnormal return between the prior and current events, and there is a significant negative difference in the average abnormal return between current events and after an event.
Keywords: Capital Markets, Event Study, Abnormal Return, Investor reaction.
Abstrak
Penelitian ini merupakan studi peristiwa yang bertujuan untuk menemukan bukti empiris reaksi investor pasar modal Indonesia terhadap peristiwa pengumuman Paket Kebijakan Ekonomi Tahap I Jokowi – JK. Populasi penelitian ini adalah saham-saham yang konsisten terdaftar dalam indeks LQ 45 selama periode penelitian. Data yang digunakan adalah data sekunder berupa harga saham harian lima hari sebelum dan lima hari setelah peristiwa. Uji statistik yang digunakan untuk menguji hipotesis adalah Independent Sample t-test dan Uji beda Wilcoxon Signed Rank Test.
Hasil perhitungan Independent Sample t-test menunjukkan bahwa terdapat abnormal return positif signifikan di sekitar tanggal peristiwa, yang berarti investor merespon peristiwa pengumuman Paket Kebijakan Ekonomi Tahap I Jokowi – JK ini sebagai kabar baik. Hasil uji Wilcoxon Signed Rank Test membuktikan bahwa terdapat perbedaan positif signifikan rata-rata abnormal return antara sebelum dan saat peristiwa, dan terdapat perbedaan negatif signifikan rata-rata abnormal return antara saat dan setelah peristiwa.
Kata Kunci : Pasar Modal, Studi Peristiwa, Abnormal Return, Reaksi Investor.
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