REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN KEMENANGAN DONALD TRUMP DALAM PILPRES AMERIKA SERIKAT 2016
ABSTRACT: The purpose of this
research is to determine abnormal return which effected after announcement of
Donald Trump winning on presidential election of United Stated 2016. This
reseach use event study approaching, that used to test semi-strong market
efficiency. Sample of this research are company that listed on LQ-45 index.
Expected return in this study calculated using market-adjusted model. Based on
t-test found that there is market
reaction in the announcement of Donald Trump winning on the presidential
election of United Stated 2016. Market reaction can be know from significant
abnormal return in H+1, H+3, H+4 and
H+5. Significant abnormal return in H+3, H+4, and H+5 imply market not efficient because there
is long respons reaction.
Keywords: market reaction,
semi-strong form market efficiency, political events
Penulis: Kadek Ria Kusumayanti,
Anak Agung Gede Suarjaya
Kode Jurnal: jpmanajemendd180076
