INDONESIAN CAPITAL MARKET REACTION TO THE 2024 PRESIDENTIAL ELECTION (A Study on the LQ45 Index at the Indonesia Stock Exchange)
Keywords:
Event Study, Abnormal Return, Trading Volume Activity, 2024 Indonesian Presidential ElectionAbstract
The reaction of the capital market reflects how market participants respond to specific information or events, making it a crucial aspect for investors when formulating appropriate investment strategies. The presidential election is a political event that can create uncertainty and influence investors' decision-making. This study aims to analyze the reaction of the capital market to the 2024 Presidential Election (Pilpres) in Indonesia. Presidential elections are political events that can trigger uncertainty and influence investors' decision-making. This research employs an event study method with a six-day observation window: three days before and three days after the election date. The sample consists of stocks listed in the LQ45 Index on the Indonesia Stock Exchange, selected using purposive sampling. Expected returns are calculated using the mean-adjusted model, while the hypothesis is tested using the Wilcoxon Signed Rank Test. The findings reveal no significant difference in cumulative abnormal returns (CAR) before and after the 2024 Presidential Election. However, a significant difference is found in the average trading volume activity (TVA). These results suggest that the 2024 Presidential Election conveyed information deemed relevant by market participants, leading to increased trading activity. Nonetheless, the absence of significant price movement implies that the market had efficiently anticipated the political event, with the impact more reflected in trading intensity rather than stock valuation.
Downloads
References
Ahmed, F., Bahoo, S., Aslam, S., & Qureshi, M. A. (2020). Meta-analysis on American presidential election - 2016 and american stock market. Estudios de Economia Aplicada, 38(1), 1–7. https://doi.org/10.25115/eae.v38i1.2948
Arif, A. A., & Sudjono, S. (2021). The Impact Of Indonesian Presidential Election The 2019 On Abnormal Return And Stock Trading Volume Activity On Idx (Empirist Event Study On Stock Listed In The Lq 45 Index In 2019) Ahmad. Dinasti International Journal of Education Management And Social Science, 2(6), 966–976. https://doi.org/10.31933/dijemss.v2i6.972
Akbar, E. P., Saerang, I. S., & Maramis, J. B. (2019). Reaksi Pasar Modal Terhadap Pengumuman Kemenangan Presiden Joko Widodo Berdasarkan Keputusan Kpu Pemilu Periode 2019-2024 (Studi pada Perusahaan BUMN yang Terdaftar Di BEI). JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 6(2), 123–131. https://doi.org/10.35794/jmbi.v6i2.26169
Alrhafynza, F. B., & Siswanto, E. (2017). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Politik Nasional (Studi Pada Saham LQ45 atas Putusan Sidang Kasus Penistaan Agama oleh Gubernur DKI Jakarta, Basuki Tjahaja Purnama Tahun 2017). Magister Manajemen UGM, 47–56. https://jurnal.unej.ac.id/index.php/prosiding/article/view/9136
Arif, A. A., & Sudjono, S. (2021). The Impact Of Indonesian Presidential Election The 2019 On Abnormal Return And Stock Trading Volume Activity On Idx (Empirist Event Study On Stock Listed In The Lq 45 Index In 2019). Dinasti International Journal of Education Management And Social Science, 2(6), 966–976. https://doi.org/10.31933/dijemss.v2i6.972
Aulia, N., & Amanah, H. (2019). Reaksi Pasar Modal Pada Peristiwa Pemilu Presiden Indonesia Tahun 2019 (Studi Pada Sub Sektor Advertising, Printing, dan Media yang Listing di BEI). Jurnal Ilmiah Mahasiswa FEB, 9(1), 1–14.
Basri, H., Shabri, M., Majid, A., & Februari, C. P. (2019). Does Indonesia Sustainability Reporting Award (ISRA) Cause Abnormal Return and Stock Trading Volume: A Comparative Analysis Stock Market Integration View project Does Financial Development Reduce Poverty? Empirical Evidence from Indonesia View project Doe. Academic Journal of Economic Studies, 5(1), 74–79. https://www.researchgate.net/publication/331101392
Brigham & Houston. (2014). Dasar-Dasar Manajemen Keuangan. Salemba Empat.
Damayanti, E., Larasati, R. D., & Hana, K. F. (2020). Reaksi Pasar Modal Indonesia Terhadap Pengumuman Indonesia Sebagai Negara Maju. Point, 2(1), 1–12. https://doi.org/10.46918/point.v2i1.500
Dewi, I. G. A. A. O., & Rama, G. R. B. (2019). Analisis Abnormal Return , Trading Volume Activity Dan Foreign Capital Inflow Sebelum Dan Sesudah Pemilihan Presiden Dan Pemilihan Legislatif Tahun 2019 (Studi Pada Perusahaan Anggota Indeks Kompas100 Di Bursa Efek Indonesia). Jurnal Ilmiah Akuntansi Dan Bisnis, 4(2), 204. https://doi.org/10.38043/jiab.v4i2.2327
Diaconaşu, D., Mehdian, S., & Stoica, O. (2023). The Global Stock Market Reactions to the 2016 U.S. Presidential Election. SAGE Open, 13(2), 1–12. https://doi.org/10.1177/21582440231181352
Fahmi, I. (2015). Manajemen Investasi: Teori dan Soal Jawab (Edisi 2). Salemba
Empat.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi (Edisi Kese). BPFE.
Indriani, R., & Mariana, M. (2021). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pengesahan Uu Cipta Kerja 2020 (Studi Kasus Perusahaan Yang Terdaftar Pada Lq45). Jurnal Bina Akuntansi, 8(2), 168–188. https://doi.org/10.52859/jba.v8i2.174
Indrianti, R., Suyanto, & Rahayu, S. R. (2020). Reaksi pasar modal terhadap kemenangan ir. H. Joko widodo pada pemilihan presiden di indonesia tahun 2019 ( Studi Pada Saham LQ 45 Tahun 2019). Jurnal Akuntansi AKTIVA, 1(2).
Kasanah, A. R., & Mariana, M. (2022). Pengaruh Pemilihan Presiden Indonesia 2019 Terhadap Abnormal Return dan Trading Volume Activity Saham Indeks LQ45 di Bursa Efek Indonesia. Jurnal Akuntansi AKUNESA, 10(3), 34–42. https://doi.org/10.26740/akunesa.v10n3.p34-42
Kemuning, N. L. D., Prianthara, I. B. T., & Wistawan, I. M. A. P. (2021). Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia. E-Jurnal Akuntansi, 31(7), 1746. https://doi.org/10.24843/eja.2021.v31.i07.p11
Kirana, N., & Sembel, R. (2019). The Effect Of Political Event On The Indonesian Stock Market: An Event Study Of Presidential Election On LQ45 Index Stocks. International Journal of Business, Economics and Law, 19(1), 1.
Machmuddah, Z., Utomo, S. D., Suhartono, E., Ali, S., & Ghulam, W. A. (2020). Stock market reaction to COVID-19: Evidence in customer goods sector with the implication for open innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(4), 1–13. https://doi.org/10.3390/joitmc6040099
Maswiguno, W., & Yunita, I. (2020). Analysis Of Abnormal Return And Trading Volume Activity Difference Before And After Quick Count Of General Election Event 2019 (Study. E-Proceeding of Management, 47(3), 1–8.
Muhajir, M., & Ariani, N. E. (2019). Analisis Perbandingan Average Abnormal Return Dan Average Trading Volume Activity Sebelum Dan Setelah Pemilihan Legislatif Dan Pemilihan Presiden Tahun 2019. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 4(4), 654–661. https://doi.org/10.24815/jimeka.v4i4.15231
Mustanda, S. and. (2018). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Ni Made Ayu Windika Saraswati 1 Fakultas Ekonomi dan Bisnis Universitas Udayana , Bali , Indonesia ABSTRAK Pasar modal memiliki peran yang sangat penting bagi perekonomian suatu negara, sebab pasar modal me. Saraswati and Mustanda, 7(6), 2971–2998.
Muzzammil, M., & Rizki, A. (2020). Capital Market Reaction: Before and After the 2019 Presidential and Legislative General Elections in Indonesia. Cuadernos de Polipub.Org ISSN, 1853(97), 5739. https://revistas.unal.edu.co/index.php/ceconomia/article/view/73067
Nida, D. R. P. P., Yoga, I. G. A. P., & Adityawarman, I. M. G. (2020). Analisis Reaksi Pasar Modal Terhadap Peristiwa Pemilu Serentak Tahun 2019. WICAKSANA: Jurnal Lingkungan Dan Pembangunan, 4(1), 64–73. https://doi.org/10.22225/wicaksana.4.1.1813.64-73
Pajrianti, E., Wardhani, R. S., & Yunita, A. (2024). Analisis Komparatif Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Pemilihan Umum Tahun 2024 (Perusahaan yang Tercatat di IDXBUMN20). Innovative: Journal Of Social Science Research, 4(3), 10592–10604. https://doi.org/10.31004/innovative.v4i3.11343
Permata, C. P., & Ghoni, M. A. (2021). Efek Pemilu Presiden Terhadap Volume Perdagangan Saham di Pasar Modal Indonesia. Disclosure: Journal of Accounting and Finance, 1(1), 1. https://doi.org/10.29240/disclosure.v1i1.2938
Pratama, D., Damayanthi, E., Dharmadiaksa, B., & Suardana, A. (2020). Capital Market Reaction to the 2019 Indonesian Presidential Election Announcement Results by the General Election Commission and Constitutional Court Decision. American Journal of Humanities and Social Sciences Research (AJHSSR), 4(1), 286–291. www.ajhssr.com
Prihantini, F. N., Indudewi, D., & Mansur, A. (2021). The Difference in Abnormal Return and Trading Volume Activity Analysis During and After Presidential Election on 17 April 2019 In Transport, Infrastructure and Utility Company Listed in Indonesia Stock Exchange In 2019. Economics and Business Solutions Journal, 5(2), 114. https://doi.org/10.26623/ebsj.v5i2.4285
Pratama, I. G. J., Ardani, W., & Putri, I. A. S. (2022). Pemanfaatan Presidensi G20 sebagai Sarana Marketing dan Branding Ekonomi Kreatif pada Era Pandemi Covid-19. Lensa Ilmiah: Jurnal Manajemen Dan Sumberdaya, 1(1), 28–33. https://doi.org/10.54371/jms.v1i1.164
Putra, D., Swissia, P., Taufik, & Panjaitan, A. (2020). Analysis of Trading Volume Activity (TVA) On Before and After the Presidential Election of the Republic of Indonesia (Case Study on Listed Financial Institution Companies in Indonesia Stock Exchange). Proceeding of 6th ICITB 2020 - Indonesia, December, 26–37.
Putri, N., Sadalia, I., & Irawati, N. (2020). Analysis of LQ45 Stock Market Index Reaction on Presidential Election 2019. International Journal of Research and Review, 7(3), 463–472.
Putri, N., Sadalia, I., & Irawati, N. (2020). Analysis of LQ45 Stock Market Index Reaction on Presidential Election 2019. International Journal of Research and Review, 7(3), 463–472.
Rani Dewi, A. A. A. M. R., & Wiksuana, I. G. B. (2022). Reaksi Pasar Terhadap Kemenangan Joe Biden Dalam Pemilihan Umum Presiden Amerika Serikat Tahun 2020 Di Emerging Market. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 11(08), 947. https://doi.org/10.24843/eeb.2022.v11.i08.p08.
Ratnawati, I. (2020). Analisis Pengaruh Peristiwa Pengumuman Hasil Pemilu Presiden Dan Legislatif Indonesia 2019 Terhadap Abnormal Return Dan Trading Volume Activity ( Event Study Pada Saham Perusahaan LQ 45 ).
Rosita Dewi, G. A. S., Wirama, D. G., & Rasmini, N. K. (2017). Reaksi Pasar Atas Pengumuman Paket Kebijakan Ekonomi X Tentang Daftar Negatif Investasi. Jurnal Ilmiah Akuntansi Dan Bisnis, 12(2), 104. https://doi.org/10.24843/jiab.2017.v12.i02.p05
Rosyida, H., Firmansyah, A., & Wicaksono, S. B. (2020). Volatilitas Harga Saham: Leverage, Ukuran Perusahaan, Pertumbuhan Aset. JAS (Jurnal Akuntansi Syariah), 4(2), 196–208. https://doi.org/10.46367/jas.v4i2.256
Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Penerbit Erlangga.
Saragih, E. M., Sadalia, I., & Silalahi, A. S. (2019). The Impact of Presidential Election on Abnormal Return, Trading Volume Activity, Security Return Variability in Banking Industries Listed on the Indonesia Stock Exchange. International Journal of Research and Review, 6(5), 246–261.
Saraswati, N. M. A. W., & Mustanda, I. K. (2018). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pengumuman Hasil Penghitungan Suara Pemilihan Umum Dan Pelantikan Presiden Amerika Serikat. E-Jurnal Manajemen Universitas Udayana, 7(6), 2971. https://doi.org/10.24843/ejmunud.2018.v07.i06.p05
Scherf, M., Matschke, X., & Rieger, M. O. (2022). Stock market reactions to COVID-19 lockdown: A global analysis. Finance Research Letters, 45(December 2020), 102245. https://doi.org/10.1016/j.frl.2021.102245
Sugiyono. (2018). Metode penelitian pendidikan: pendekatan kuantitatif, kualitatif
dan R & D. Bandung: Alfabeta.
Tandelilin, E. (2021). Pasar Modal Manajemen Portofolio & Investasi. PT Kanisius. Yogyakarta.
Wiagustini, Ni Luh Putu. (2014). Manajemen Keuangan. Denpasar: Udayana University Press.
Wibowo, M. A. (2025). Analisis Perbedaan Abnormal Return Dan Trading Volume Activity Pra Dan Pasca Pemilu Presiden Indonesia Tahun 2024 Pada Saham Lq45 Dalam Bursa Efek Indonesia. 1–23.
Wiksuana, I. G. B. (2020). Market Reaction to The Announcement of General Election Result of The President and Vice President of Indonesia in 2019 (Study on LQ 45 Stock Index on The Indonesia Stock Exchange). European Journal of Business and Management, 12(3), 120–123. https://doi.org/10.7176/ejbm/12-3-15
Wirawan, N. (2016). Statistika Ekonomi dan Bisnis (Buku 1: Statistika Inferensia): Vol. Buku 1 (Keraras Emas, Ed.; Keempat).
Yudiawan, P. A., & Abundanti, N. (2020). Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Tahun 2019 Di Bursa Efek INDONESIA. E-Jurnal Manajemen Universitas Udayana, 9(2). https://doi.org/10.24843/ejmunud.2020.v09.i02.p20
Zahrotul Amalia, L., & Budi Santosa, P. (2033). Bursa Efek Indonesia (Studi Perusahaan yang Tercatat dalam Jakarta Islamic Index 70). Djieb, 2(2), 138–158. https://ejournal2.undip.ac.id/index.php/djieb/index
