DAMPAK PEMILIHAN PRESIDEN 2019 TERHADAP HARGA SAHAM DAN VOLUME PERDAGANGAN DI BURSA EFEK INDONESIA
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May 12, 2020
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Abnormal Return, Trading Volume Activity, Event Study, Pilpres 2019
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Abstract
Penelitian ini bertujuan menguji dampak pemilihan presiden (pilpres) di Indonesia pada tahun 2019 terhadap harga saham dan volume perdagangan di Bursa Efek Indonesia. Penelitian ini menggunakan studi peristiwa (event study) selama 5 (lima) hari sebelum dan sesudah tanggal peristiwa (event date). Tanggal peristiwa pilpres 2019 adalah pada tanggal 17 April 2019. Sampel yang digunakan adalah perusahaan yang tergabung dalam sektor perbankan periode Desember 2018 sampai April 2019. Penelitian ini menggunakan data sekunder yang diperoleh dari Bursa Efek Indonesia yang meliputi harga saham penutupan harian, IHSG, volume perdagangan saham harian dan jumlah saham yang beredar. Return ekspektasi menggunakan model disesuaikan pasar (market adjusted model). Hasil penelitian menunjukkan adanya abnormal return pada pilpres 2019. Namun tidak terdapat perbedaan yang signifikan antara sebelum dan sesudah peristiwa baik untuk abnormal return maupun trading volume activity. Oleh karena itu bisa disimpulkan bahwa pilpres 2019 berpengaruh namun tidak signifikan terhadap harga saham dan tidak berpengaruh terhadap volume perdagangan saham pada sektor perbankan di Bursa Efek Indonesia.
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References
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Meidawati, Neni & Harimawan, Mahendra (2004). Pengaruh Pemilihan Umum Legislatif Indonesia tahun 2004 terhadap Return Saham dan Volume Perdagangan Saham LQ-45 di PT. Bursa Efek Jakarta (BEJ). Sinergi, 7(1), 89-101.
Nordhaus, William D. (1975). The Polical Business Cycle. The Review of Economic Studies, 42(2), 169-190.
Pantzalis, C., Stangeland, D. A. & Turtle, H. J (2000). Political Elections and the Resolution of Uncertainty: The
International Evidence. Journal of Banking & Finance, 24, 1575-1604.
Obradovic, Sasa & Tomic, Nenad (2017). The Effect of Presidential Election in the USA on Stock Return Flow – A Study of A Political Event. Economic Research-Ekonomska Istrazivanja, 30(1), 112-124.
Osuala, A. E., Onoh, U. A. & Nwansi, G. U (2018). Presidential Election Results and Stock Market Performance: Evidence from Nigeria. Applied Economics and Finance, 4(2), 117-124.
Ramesh, Savita A (2015). Return Volatility Around National Elections: Evidence from India. Procedia – Social dan Behavioral Science, 189, 163-168.
Shaikh, Imlak (2017). The 2016 U.S. Presidential Election and The Stock, FX and VIX Markets. North American Journal of Economics and Finance, 42. 546-563.
Sihotang, E. M., & Mekel, P. A. (2015). Reaksi Pasar Modal terhadap Pemilihan Umum Presiden tanggal 9 Juli 2014 di Indonesia. Jurnal EMBA, 3(1), 951–960.
Spence, Michael (1973). Job Market Signaling. Quarterly Journal of Economic, 87(3), 355-374.
Sutanto, C., Barata, D. D. & Lestari, D. (2015). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Saham Sebelum dan Sesudah Pilkada Serentak 9 Desember 2015. Kalbisocio, 6(1), 71-79.
Trisnawati, F. (2011). Pengaruh Peristiwa Politik terhadap Perubahan Harga Saham. Pekbis Jurnal, 3(November 2011), 528–535.
Bowman, R. G. (1983). Understanding and Conducting Event Studies. Journal of Business Finance & Accounting, 10(4), 561–584.
Bowes, David R (2018). Stock Market Volatility and Presidential Election Uncertainty: Evidence from Political Futures Markets. The Journal of Applied Business Research, 34(1), 143-150.
Brown, K.C., Harlow, W.V. & Tinic, S. M. (1988), Risk Aversion, Uncertain Information, and Market Efficiency. Journal of Financial Economics, 22(2), 355-385.
Celis, Evelita E. & Shen, Leow Jia (2015). Political Cycle and Stock Market – The Case of Malaysia. Journal of Emerging Issues in Economics, Finance and Banking (JEIEFB), 4(1), 1461-1512.
Chandra, T. (2015). Impacts of Indonesia’s 2014 Presidential Election towards Stock Priceso Indonesia Stock Exchange. International Journal of Business and Management, 10(7), 172–183.
Chien, Wen-Wen (2014). Stock Market, Economic Performance, and Presidential Elections. Journal of Business & Economics Research, 12(2), 159-170.
Diantriasih, N. K., Purnamawati, I. G. A. & Wahyuni, M. A. (2018). Analisis Komparatif Abnormal Return, Security Return Variability dan Trading Volume Activity Sebelum dan Setelah Pilkada Serentak Tahun 2018. Jurnal Ilmiah Mahasiswa Akuntansi (JIMAT) Universitas Pendidikan Ganesha, 9(2), 116-127.
Diniar, A. H. & Kiryanto (2015). Analisis Dampak Pemilu Presiden Jokowi terhadap Return Saham (Studi Kasus Saham LQ-45) di Bursa Efek Indonesia). Jurnal Akuntansi Indonesia, 4(2), 97-108.
Dwipayana, I. G. N. A. P & Wiksuana, I. G. B. (2017). Pengujian Efisiensi Pasar di Bursa Efek Indonesia. e-jurnal Manajemen UNUD, 4(6), 2105-2132.
Fama, Eugene (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Gatumo, Francis Mambo (2017). General Elections and Stock Markets: Did August 2017 General Election in Kenya Influence The Stock Market? IOSR Journal of Business and Management (IOSR-JBM), 19(11), 56-59.
Hutami, Rizkia Nur & Ardiyanto, Moh Didik (2015). Abnormal Return dan Trading Volume Activity Sebelum dan Setelah Pemilihan Presiden secara Langsung 9 Juli 2014 (Studi Kasus pada Saham LQ-45). Diponegoro Journal of Accounting, 4(2), 1-10.
Imelda, Siregar, H., & Anggraeni, L. (2014). Abnormal Returns and Trading Volume in the Indonesian Stock Market in Relation to the Presidential Elections in 2004, 2009, and 2014. International Journal of Administrative Science & Organization, 21(2), 66–76.
Jange, Beno (2017). Dampak Pilkada Serentak 2015 dan 2017 terhadap Abnormal Return dan Volume Perdagangan Saham Sektor Perbankan di Bursa Efek Indonesia. Jurnal Ilmu Komputer dan Bisnis, 8(2), 1935-1949.
Jiun, Ricky Chia Chee (2018). The Effect of Political Elections on Stock Market Volatility in Malaysia. International Journal of Engineering & Technology, 7 (3.21), 114-119.
Katti, Siti Wardani Bakri (2018). Pengaruh Peristiwa Politik (Pemilu Presiden dan Pengumuman Susunan Kabinet) terhadap Saham Sektor Industri di Bursa Efek Indonesia. Jurnal Capital, 1(2), 126-134.
Khan, S., Jaffri, R. A., Baig, N., Shaique, M. & Usman, M (2017). Stock Index Manipulation Around Election Announcements: Evidence from Pakistan Stock Exchange. International Journal of Accounting and Economics Studies, 5(2), 87-91.
Koulaiotis, A., Papapaganos, H. & Papasyriopoulos, N (2016). Political Elections, Abnormal Returns and Stock Price Volatility: The Case of Greece. Investment Management and Financial Innovations, 13(1), 161-169.
Liew, Venus Khim-Sen & Rowland, Racquel (2016). The Effect of Malaysia General Election on Stock Market Returns. SpringerPlus, 1-13.
Lin, Chin-Tsai & Wang, Yi-Hsien (2005). An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities. Annals of Economics and Finance, 6, 169-183.
Luhur, Suryo (2010). Reaksi Pasar Modal Indonesia Seputar Pemilihan Umum 8 Juli 2009 pada Saham LQ-45. Jurnal Keuangan dan Perbankan, 14(2), 249-262.
Mackinlay, A.Craig (1997). Event Studies in Economic and Finance. Journal of Economic Literature, XXXV, 13-39.
Mahaputra, I. M. D., & Purbawangsa, I. B. A. (2015). Pengaruh Peristiwa Pemilu Legislatif 2014 terhadap Perolehan ”Abnormal Return Saham LQ 45 di Bursa Efek Indonesia”. e-Jurnal Manajemen UNUD, 4(5), 1406–1421.
Mansur, F., & Jumaili, S. (2014). Reaksi Pasar Modal terhadap Peristiwa Pemilihan Umum tahun 2014 pada Perusahaan Terdaftar di Bursa Efek Indonesia. Jurnal Penelitian Universitas Jambi Seri Humaniora, 16(2), 59–68.
Meidawati, Neni & Harimawan, Mahendra (2004). Pengaruh Pemilihan Umum Legislatif Indonesia tahun 2004 terhadap Return Saham dan Volume Perdagangan Saham LQ-45 di PT. Bursa Efek Jakarta (BEJ). Sinergi, 7(1), 89-101.
Nordhaus, William D. (1975). The Polical Business Cycle. The Review of Economic Studies, 42(2), 169-190.
Pantzalis, C., Stangeland, D. A. & Turtle, H. J (2000). Political Elections and the Resolution of Uncertainty: The
International Evidence. Journal of Banking & Finance, 24, 1575-1604.
Obradovic, Sasa & Tomic, Nenad (2017). The Effect of Presidential Election in the USA on Stock Return Flow – A Study of A Political Event. Economic Research-Ekonomska Istrazivanja, 30(1), 112-124.
Osuala, A. E., Onoh, U. A. & Nwansi, G. U (2018). Presidential Election Results and Stock Market Performance: Evidence from Nigeria. Applied Economics and Finance, 4(2), 117-124.
Ramesh, Savita A (2015). Return Volatility Around National Elections: Evidence from India. Procedia – Social dan Behavioral Science, 189, 163-168.
Shaikh, Imlak (2017). The 2016 U.S. Presidential Election and The Stock, FX and VIX Markets. North American Journal of Economics and Finance, 42. 546-563.
Sihotang, E. M., & Mekel, P. A. (2015). Reaksi Pasar Modal terhadap Pemilihan Umum Presiden tanggal 9 Juli 2014 di Indonesia. Jurnal EMBA, 3(1), 951–960.
Spence, Michael (1973). Job Market Signaling. Quarterly Journal of Economic, 87(3), 355-374.
Sutanto, C., Barata, D. D. & Lestari, D. (2015). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Saham Sebelum dan Sesudah Pilkada Serentak 9 Desember 2015. Kalbisocio, 6(1), 71-79.
Trisnawati, F. (2011). Pengaruh Peristiwa Politik terhadap Perubahan Harga Saham. Pekbis Jurnal, 3(November 2011), 528–535.
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