ANALISIS REAKSI PASAR PADA PERUSAHAAN-PERUSAHAAN DI JAKARTA ISLAMIC INDEX (JII) TERHADAP RANGKAIAN PERISTIWA PEMILIHAN UMUM PRESIDEN DAN WAKIL PRESIDEN INDONESIA 2024

Salwa Dina Kharista, NIM.: 21108030120 (2025) ANALISIS REAKSI PASAR PADA PERUSAHAAN-PERUSAHAAN DI JAKARTA ISLAMIC INDEX (JII) TERHADAP RANGKAIAN PERISTIWA PEMILIHAN UMUM PRESIDEN DAN WAKIL PRESIDEN INDONESIA 2024. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to analyze the reaction of the Indonesian capital market, specifically companies listed on the Jakarta Islamic Index (JII), to three events of the 2024 Presidential Election (Pilpres): the determination of presidential and vicepresidential candidates, the announcement of the winners by the General Elections Commission (KPU), and the inauguration of the president and vice president. The event study method was used to test the influence of Abnormal Return (AR) and Trading Volume Activity (TVA) as indicators of market reaction. Daily stock price and trading volume data from the JII were analyzed using descriptive statistics, normality tests, the Friedman Test, and the Wilcoxon Signed Ranks Test. The results of the Friedman Test indicate that the hypothesis for AR was rejected, while the hypothesis for TVA was accepted, signifying no significant difference in AR, but a significant difference in TVA around the event dates. The Wilcoxon Signed Ranks Test showed the rejection of the AR hypothesis for all events. TVA only showed a significant difference at the presidential and vice-presidential inauguration event.

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