Abstract:
This study is an event study which aims to analyze the difference of abnormal
return and trading volume activity on stocks of Indonesian Stock Exchange as a
whole and sectoral around political event that happened overseas. Events that
became the object of observation is the announcement of the winner of the United
States 2016 election by using indicators of abnormal return and trading volume
activity. The population of this study is the total shares listed on the Indonesian Stock
Exchange in the period of observation. The data used are secondary data in the form
of daily closing stock, composite stock index (JCI), daily trading volume, and number
of shares outstanding starting from November 2, 206 until November 16, 2016. The
statistical test used to test the hypothesis is paired sample t -test. The results showed
that: (1). The election of Donald Trump as the 45th president of the United States has
a significant positive effect (with 1% significance level) to the total abnormal return
of IDX stocks simultaneously for the observation period of 1 to 5 days. (2). The
election of Donald Trump as the 45th president of the United States has no effect
(with a 5% significance level) on the abnormal return for the basic and chemical
industries and the consumer goods industry sector, while affecting the other seven
sectors. (3). The election of Donald Trump as the 45th president of the United States
has a significant positive effect (with a significance level of 10%) on the trading
activity volume of all IDX stocks simultaneously for a 2 day observation period. (4).
The election of Donald Trump as the 45th president of the United States has no effect
(with a significance level of 5%) on trading volume activity in agriculture, basic and
chemical industries, consumer goods industry and financial sector.
