Capital Market Reaction to the 2019 Indonesian Presidential Election Announcement Results by the General Election Commission and Constitutional Court Decision

ABSTRACT : Event study is a method for knowing market reactions to events that contain information which measured by abnormal returns. This study shows the comparison between abnormal returns in the announcement of the 2019 Indonesian Presidential Election results by the General Election Commission and Constitutional Court. This study uses secondary data in the form of daily closing stock prices and LQ45 market prices. To estimate expected returns uses market-adjusted model. The sampling method uses purposive sampling with 38 companies on the announcement by the General Election Commission and 41 companies on the announcement by the Constitutional Court from the LQ45 index in February-July 2019. Data analysis technique uses paired sample t-tests, the significance level of 5 percent for normally distributed data and Wilcoxon test for data with abnormal distribution. The study found that there is no differences in abnormal returns before and after the announcement of the 2019 Presidential Election results by the General Election Commission and Constitutional Court.
Keywords –Market Reaction; Information Content of an Announcement ; Event Study; Political Event;
Abnormal Return