THE IMPACT OF INDONESIA PRESIDENTIAL ELECTION YEAR 2014 ON ABNORMAL RETURN AND TRADING VOLUME ACTIVITIES OF STOCKS IN INDONESIA STOCK EXCHANGE (EVENT STUDY ON ADVERTISING PRINTING MEDIA STOCKS LISTED ON IDX)

Abstract

The purposes of this research are to examine the impact of Indonesia Presidential Election year 2014 on the average of abnormal return and the average of trading volume activities on Advertising Printing Media Companies listed on the Indonesia Stock Exchange before and after the Presidential Election from 8th July 2014 until 10th July 2014. This research used event study method that observed the average of abnormal return and trading volume activities one day before, event date, and one day after the Presidential Election year 2014.This research used secondary data obtained from the Indonesia Stock Exchange and the Indonesia Capital Market Directory (ICMD). The data used in this study included the daily closing price, CSPI index, daily stock trading volume, and the number of outstanding shares. The expected return used market adjusted model. The populations of this research are all companies under Advertising Printing Media stocks listed on IDX. The results of this research are: (1) Based on the statistical test of the average abnormal return of stocks during the event period, it was found that there was no significant difference in the average of abnormal return before and after the presidential election year 2014. It is due to the type of capital market of Indonesia that is semi-strong type of capital market, therefore the information or events that happened in Indonesia did not respond quickly by Indonesian investors. (2) Based on the statistical test of the average trading volume of stocks during the event period, it was found that there was no significant difference in the average of trading volume before and after the presidential election year 2014. The absence of significant differences in the average of trading volume activities before and after the presidential election was because of no demand from investors to trade their stocks, this means investors assumed the presidential election year 2014 was not a big event that affects the desire of investors to trade their stocks in market.Keywords: abnormal return, trading volume activities, event study, Indonesia Presidential Election year 201