Analisis Dampak Peristiwa Pemilu Amerika Serikat Tahun 2016 terhadap Return Saham yang Terdaftar di Jakarta Islamic Index

Abstract

The purpose of this study was to analyze the differences in the average abnormal return and the average trading volume activity in the shares of sharia that are listed in the Jakarta Islamic Index (JII) before and after the events of the presidential elections the United States in 2016 on 26 October to by October 23, 2016. This study used event study methodology which to observe of the average abnormal return and the average trading volume activity. This study used a market model to calculate the expected return. The period of estimation is 100 trading days, while the period of the events in this study during the 10 days prior to the date of event, event date, and 10 days after the event. By using a t-test, the value of AAR showed a negative relationship at t-5 and t-4. It also suggested a positive result in t-3. Meanwhile after the incident, it showed a positive relationship at t + 1 and significantly negative at t + 4. The results of the comparison test of the average of AAR before and after the event showed no significant difference. However, the comparison test of the average TVA suggested a significant difference before and after the US presidential elections in 2016. The results of this study indicate that the election event in the US president has information content. Information received by market participants considered in their decision as reflected in the stock price. Thus, the market can be said to be a efficient semi-strong form of market.