The Impact Of Presidential Election Day On LQ 45 Stock Index Movements

Abstract

Arto Kumoro (2011). The Impact of Presidential Election Day on LQ 45 Stock Index Movements. Yogyakarta, International Program, Faculty of Economy, Universitas Islam Indonesia. This research aims to examine the effect of a political event on the capital market activities, especially on the Indonesia Stock Exchange. The researcher examines the market reaction of Indonesia Stock Exchange around presidential election periods (7th July 1999, 5th of July 2004, 20th of September 2004, and 8th of July 2009). This research tries to examine the effect of the event reflected by abnormal return before and after the election periods. This study took the data from 45 companies (LQ-45) in Indonesia Stock Exchange and it used the methodology of event study. The event dates are twelve days before and twelve after the election periods. The data is secondary data that were collected from historical price of stock. The main result of this research showed that the political event does not significantly affect the stock return between pre and post the event. The result indicates that the political election periods had no impact to the investors in Indonesia Stock Exchange. Keyword: Political Event, LQ 45, Event Study, Abnormal Return, Indonesia Stock Exchange.