ANALISIS REAKSI PASAR MODAL TERHADAP PENGUMUMAN PEMINDAHAN IBUKOTA NEGARA REPUBLIK INDONESIA (Studi Kasus pada Saham Indeks LQ45)

HENDRA FAUZI, NIM. 16840007 (2020) ANALISIS REAKSI PASAR MODAL TERHADAP PENGUMUMAN PEMINDAHAN IBUKOTA NEGARA REPUBLIK INDONESIA (Studi Kasus pada Saham Indeks LQ45). Skripsi thesis, FAKULTAS EKONOMI DAN BISNIS.

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Abstract

This study is an event study to find out the effect of bureaucratic activities or national government decisions on the Indonesian capital market. This study aims to discover the effect of the announcement of relocation of Indonesia’s Capital City in August 2019 to the capital market reaction as seen from the difference in the average abnormal return, trading volume activity, and security return variability on stocks included in the LQ45 index category. This research is an event study using the market adjust model method to calculate differences in the average abnormal return, trading volume activity, and security return variability. The data used are secondary data related to the Indonesia Composite Indeks (ICI) data, close prices, daily shares, and daily stock trading volume using 23 companies as research samples with an observation period of 11 exchange days. The results of this study indicate that during the observation period the announcement of moving of Indonesia’s Capital City there were no significant differences in the average abnormal return, trading volume activity, and security return variability as research variables.

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