Abstract
The General Election of DKI Jakarta Governor Year 2017 is a political events affecting the capital market. This study aims to determine abnormal return around the events and to determine the difference of abnormal return before and after the events. This study was conducted in companies incorporated the Compass Index 100 period February to July Year 2017. The samples are 92 companies, determined by nonprobability sampling method, especially purposive sampling technique. Research analysis technique is Chi-Square Test and Wilcoxon Signed Ranks Test. The result are that there is abnormal return around the events of General Election of Governor of DKI Jakarta Year 2017. There are differences of abnormal return before and after General Election of DKI Jakarta Governor Year 2017. The events contains information and make investors react. This research can prove efficient market theory of a half strong form as a representation of the market response to an event.
 Keywords: abnormal return, market reaction
Highlights
Investasi merupakan penanaman uang atau modal dalam suatu perusahaan atau proyek untuk tujuan memperoleh keuntungan
This study aims to determine abnormal return around the events and to determine the difference of abnormal return before and after the events
Jurnal Ilmiah Bidang Akuntansi dan Manajemen (JEMA). 14(2), 157-168
Summary
Penelitian ini menggunakan penelitian komparatif dengan pendekatan Market Adjust Model. Obyek penelitian yaitu abnormal return pada saham-saham perusahaan yang termasuk kedalam Indeks Kompas 100. Actual return dalam penelitian ini dihitung dengan formula sebagai berikut (Hartono, 2015:265): Keterangan: Rit = Return sesungguhnya sekuritas ke-i pada periode peristiwa ke-t Pit = Harga sekarang relatif Pi,t-1 = Harga sebelumnya. Jenis data dalam penelitian adalah data kuantitatif berupa daftar harga saham dari laporan harga penutupan saham perusahaan-perusahaan yang termasuk dalam Indeks Kompas 100 dan harga IHSG pada peristiwa yang diamati. Teknik analisis data yang digunakan dalam penelitian ini yaitu untuk Hipotesis 1 dengan menggunakan uji One Sample T-Test apabila data berdistribusi normal sedangkan apabila tidak berdistribusi normal menggunakan uji Chi-Square Test. Teknik analisis data untuk Hipotesis 2 dengan menggunakan uji Paired Sample T-Test apabila data berdistribusi normal sedangkan apabila data tidak berdistribusi normal menggunakan uji Wilcoxon Signed Ranks Test dibantu dengan menggunakan program SPSS (Statistical Product and Service Solution)
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