Abnormal Return of The Agriculture Sector Test on The President Election Process in 2019

Abstract

Presidential election is one of the political events that can be tested whether it contains information that can affect the performance of issuers in the capital market. This study aims to examine the reaction of agricultural stocks whether they contain information related to the political events of the 2019 presidential and vice-presidential elections. Information content is measured by the significance of the Cumulative Average Abnormal Return (CAAR) t-test. The results showed that there was significance before and after the presidential and vice-presidential election events in 2019. Before the election the significance of CAAR had a negative dominant value and after the significance event at H + 1 was positive with a negative Average Abnormal Return. This shows that there is good and bad information circulating in the capital market, especially in the agricultural sector. The CAAR and AAR pair test shows that the political events of the 2019 presidential election before and after the events were not significantly different.