REAKSI PASAR MODAL INDONESIA SEPUTAR
PEMILIHAN UMUM 8 JULI 2009 PADA SAHAM LQ-45
Jurusan Manajemen Fakultas Ekonomi UPN “Veteran” Yogyakarta
Jl. Lingkar Utara (SWK) No. 104 Condong Catur, Sleman, Yogyakarta-55283
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This research used event study methodology to investigate the stock price reaction to domestic political events, Indonesian presidential and vice election on July 8th, 2009 on stock of LQ-45 category listed in BEI. Data analysis used one sample t-test and paired samples t-test. The result of the analysis revealed that abnormal returns were: (1) not significantly different before and after presidential election announcement, (2) Significantly negative on day t-10, t-5, t-4, t0, and t+7 and significantly positive on t-10 and t+7 3, (3) Not Significantly different on day 0 Trading Volume Activity before and after presidential election announcement. This results reported here indicated that Indonesian Capital Market was little sensitive to political events.
Key words: event study, domestic political events, abnormal return, trading volume activity.