Abnormal Return of The Agriculture Sector Test on The President Election Process in 2019
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.
Jones C. P, Jensen. G. R 2016, Investment:Analysis and Management 13th Ed). John Willey & Son.
Bodie Z.A. Kane and A. J. Marcus. 2014. Investment 10th edition. McGraw-Hill Companies, Inc. Usa
Reilly, K. F and K.C. Brown. 2009. Investment Analysis and Portofolio Management 8 th. South Western Educational Publishing. USA5.
Nezerwe, Yvan. 2013. Presidential Elections and Stock Returns in Egypt. Review of Business and Finance Studies, University of Phoenix
Manurung H, 2019. Pengaruh Pemilu Serentak Terhadap Return Saham Di Indonesia (Studi Kasus Saham LQ-45 di Bursa Efek Indonesia. Journal for Business and Entrepreneur ISSN 2501-6682 Vol. 3 No. 1.
Nurhaeni, Nunung, 2009. “Dampak Pemilihan Umum Legislatif Indonesia Tahun 2009 Terhadap Abnormal Return Dan Aktivitas Volume Perdagangan Saham Di Bei (Uji Kasus Pada Saham Yang Terdaftar Da-lam Kelompok Perusahaan LQ 45)”. Tesis Akuntansi Unversitas Diponegoro 2009.
Idx Fact Book 2019, PT Bursa Efek Indonesia