Dampak Pemilu Legislatif Indonesia Tahun 2009 terhadap Abnormal Return dan Aktivitas Volume Perdagangan Saham Di BEI

Nurhaeni, Nunung (2009). Dampak Pemilu Legislatif Indonesia Tahun 2009 terhadap Abnormal Return dan Aktivitas Volume Perdagangan Saham Di BEI. Tesis, Undip.

The purposes of the research is to analyze differences in average abnormal return average trading volume activity on LQ-45 stocks before and after the legislative general election events, trading from 06 to 15 on April 2009. This research uses the event study method. In this method, we observe the average abnormal return and the average trading volume activity within 3 days before, after the event date. This research uses secondary data. The data is collected from Indonesian Stocks Exchange and Indonesian Securities Market Database. The data of this research consist of : days closing price, index of LQ-45 stocks, daily trading volume, and the number of shares of the stocks. Expected return was used market-adjusted model. The sample of this research consist of LQ-45 stocks that were listed in the Indonesian Stock Exchange.

The result shows that: (1).based on the statistical test on the average abnormal return during event method, the finding is that there is an average abnormal return is significant before and after the legislative general election events. The finding indicates that stock exchange before the legislative general election events, two days before general election events, a number investors have been profit taking and have to avoid uncertain situations, a number foreign investors have came back to stock exchange and they have been doing demand after long holiday. (2). The Paired sample test of the average trading volume activity before after the event , it shows that statistically there is significant difference before and after the event, the mean value of the average trading volume activity shows that there is an increase of the average trading volume activity after and before the event. It is because beside a number investors have been profit taking, the quick count very influence of increase the average trading volume activity also after the legislative general election events.

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