Research Paper
Year: 2019 | Month: May | Volume: 6 | Issue: 5 | Pages: 246-261
The Impact of Presidential Election on Abnormal Return, Trading Volume Activity, Security Return Variability in Banking Industries Listed on the Indonesia Stock Exchange
Enny Magdalena Saragih1, Dr. Isfenti Sadalia2, Dr. Amlys Syahputra Silalahi2
1Postgraduate Students Department of Management, Faculty of Economics and Business at University of North Sumatera, Indonesia
2Postgraduate Lecturer Department of Management, Faculty of Economics and Business at University of North Sumatera, Indonesia
Corresponding Author: Enny Magdalena Saragih
ABSTRACT
Stock market connects parties which needs long term budget with other parties’ requiring means of investment. The development of stock price and trading volume in stock market is an important indicator to study the activities of market and investors. This thesis analyzes the impact of presidential election on abnormal return, trading volume activity, and security return variability in banking industries listed on the Indonesia Stock Exchange with a case study on the presidential election in 2004, 2009, and 2014. This is a quantitative study with descriptive analysis. It compares everyday abnormal return, trading volume activity, and security return variability for five days before and after the presidential elections. Overall, there are observational periods before and after the presidential elections. The data are analyzed by applying descriptive statistical analysis and t-test for before and after the elections using paired t-test and non-parametric test. The results of the research which compared each day during the observation periods before and after the presidential elections demonstrated that the abnormal return was both significantly and insignificantly different depending on the time span compared. Generally, during the observation period before and after the elections, the abnormal return was significantly influenced during the presidential election in 2014, but it was insignificant during the elections in 2004 and in 2009. The trading volume activity which was compared each day during the observation period was both significantly and insignificantly different depending much on the time span compared and it was mostly insignificant. In general, during the observation period before and after the elections, the trading volume activity was significantly influenced during the presidential election in 2009, but it was insignificant during the elections in 2004 and 2009. The security return variability which was compared each day during the observation period was both significantly and insignificantly different depending on the time span compared. Overall, during the observation period before and after the elections, the security return variability was significantly influenced during the first round of the presidential election in 2004, but it was insignificant during the second round of the elections in 2004 and 2014.
Key words: Abnormal Return, Trading Volume Activity, Security Return Variability, Presidential Election.
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