ABSTRACT
Presidential election is one of the most influential political events on the
economy of a country, especially in capital market instrument. This study is an
event study which is aimed to analyze market reactions to Indonesian presidential
election in 2014. These market reactions are measured by abnormal return
indicator. Furthermore, this study also examines more about the reactions that
occur in partially state-owned enterprises (SOEs) to show the empirical evidence
about the influence of presidential election events to companies owned by the
government.
The population of this study consists of all stocks listed in Indonesia Stock
Exchange (IDX). The data are collected from Yahoo Finance and Indonesia Stock
Exchange. Event study and regression analysis approach are used to analyze the
data of this study.
The result shows significant abnormal return in the event period, proving that
Indonesian market reacts to the event. Moreover, the result also shows that the
abnormal return of the SOEs is higher than the abnormal return of the non-SOEs,
proving that SOEs investors are more vulnerable or more sensitive against
presidential election event.
Keywords: marketreaction, event study, political events, abnormal return