Investors Reaction Towards Product Boycott Announcement : The Case of Riau Smoke Haze Disaster 2015
Claudia Hanny (Adv.: Fuad Rakhman, S.E., M.Sc., Ph.D., CA.,), Fuad Rakhman, S.E., M.Sc., Ph.D., CA.,
This study examines the capital market reaction towards the event of product boycott announcement, due to the 2015s Riau smoke haze disaster.
As the disaster blames are being put on the palm-oil and pulp paper firms in Indonesia, those are chosen as the subject of the study.
Event study method using market model is employed to help measure the scale and direction of the impact on stock value of the related firms during the observation period.
Both abnormal return and abnormal trading volume were observed to reflect the changes in value and liquidity of the firms stocks.
Empirically, this study found that the event has information content towards the studied stocks and cause decrease of the stock value by 2.87% cumulatively during the day before until the day after the announcement.
The presence of negative abnormal return before the announcement day itself provides evidence to information leakage.
These indicate that haze-related product boycott announcement affects stock value of related firms negatively.
However, there are no significant changes observed in the trading volume of the studied stocks.
Kata Kunci : event study, product boycott, smoke haze disaster, capital market reaction
