Reaksi pasar modal terhadap peristiwa pemilihan presiden Republik Indonesia 20 September 2004: kajian terhadap return 39 saham terpilih di PT Bursa efek Jakarta
WIDATINIGSIH, YULI TRI , Dra. Sri Handaru Yuliati, MBA
Economic and politic are two aspects that can not be apart. An unstable political stability is tends to bring about the decreasing economical state performance. This is caused by the most highly losses risk that results in the political occurrences that could be frightening the state stability, such as state principal changes, chaos, etc. The most highly power of an occurrence-primarily in the national scale-in affects the stock price was set up the presidential election at 2004 as an object that is interesting to be studied. Additionally, starts at 2004, the system that being used were directly election. This research is to tests the significance of abnormal stock returns around the presidential election as well as the expected abnormal return differences in both before and after the public vote.
This research is an event study with the used sampling method is purposive sampling. From the stocks that selected in LQ-45 indices the 39 selected stocks are as research's sample. The data were analyzed by t-test and assisted by Microsoft Excel 2003 and SPSS version 12 software.
The research results were shows that at event period of June 21 to July 20 the significant abnormal returns are the days. While at event periods in September 3 to October 5 of 2004 the significant abnormal returns there were days. The all of abnormal return are negative valued. The most long uncertainty periods through the electoral process are become their determinant factors. Also the research results were shown that have no differences between the significant abnormal returns in both before and after the public vote. The information was immersed by market so that the stakeholders were take "wait and see" responses as well as perceiving on the cabinet arrangements that would be formed by the chosen president.
Kata Kunci : public vote, stock price, abnormal return, event study.
