The Effect of MPR special session 2001 to large stocks and small stocks in Jakarta Stock Exchange

TANDIANTO, Hernaman, Prof.Dr. Zaki Baridwan, MSc

2002 | Tesis | Magister Manajemen

This research was conducted in order to examine the strength of political event, especially MPH special session, to Indonesian capital market. This research examines large stocks and small stocks reaction to that political event. Culegorting lurge und smull stocks bused on lheir market cupitulizution. Security lieturn variability (SRV) and Truding Volume Activity (TVA) used on this event sludies. The muin reason for using SR V was to oinif Iieterogeneous response of the market that huppened.for 10 days. The MPR Special Session 2001 chosen as the subject of this event study because it has national political eflect to the Indonesian. MPR special session was held in July 23, 2001 and had finished in July 26, 2001. This MPR special session was very important for Indonesian stability because in the previous months before, Indonesiun political situation was in unstable condition and it also gave negative impuct for economic condition. This research found that SRV for large stocks increase signlJicant and SRV for small stocks decrease sign$cant. From TVA result, TVA for large stocks decrease significant and TVA for small stocks not signlf;cant. The result of this research showed that the Indonesian Capital Market had quickly responded to every decision reachedfiom MPR Special Session 2001.

-

Kata Kunci : Pasar Modal Indonesia, Sidang Umum MPR 2001, MPR Special Session 2001, market capitalization, Security Return Variability (SRV), Trading Volume Activity P A ) , Jakarta Stock Exchange.