Pengaruh Peristiwa Terpilihnya Donald Trump sebagai Presiden Amerika Serikat ke- 45 terhadap Return Saham, Volume Perdagangan Saham dan Variabilitas Tingkat keuntungan (Event Study pada Saham Indeks LQ45 di Bursa Efek Indonesia)

Abstract

The purpose of this research are to analyze the differences in the average return (actual return and abnormal return), the average trading volume activity and the average security return variability LQ45 index were listed on the Stock Exchange before, during and after the events of Donald Trump’s election as the 45th United States President. This study using event study, so that if the event contains information, it is likely the market will react if investors receive the information. The data used in this research is secondary data obtained from the Indonesian Stock Exchange Corner. The data are daily closing stock price, IHSG, the number of shares traded and the number of shares outstanding. The samples used were shares LQ45 index period August 2016-January 2017 were listed on the Stock Exchange. Testing the hypotheses used in this study is one sample t-test for abnormal returns variables and paired sample t-test for actual return, trading volume activity and security return variability variables. Testing one sample t-test showed that only in t-3, t-2 and t2 which showed a significant differences in abnormal return before, during and after the event. Testing paired sample t-test showed that: (1) There was a significant differences in actual return before, during and after the event. (2) There was no significant differences in trading volume activity before and during the event. (3) There was a significant differences in trading volume before and after the event. (4) There was a significant differences in trading volume activity during and after the event. (5) There was no significant differences in secutity return variability before and during the event. (6) There was a significant differences in security return variability before and after the event. (7) There was a significant differences in security return variability during and after the event.