THE IMPACT OF POLITICAL EVENTS ON THE INDONESIA STOCK EXCHANGE
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Paulina Yuritha Amtiran(1*)
Department of Management, Universitas Nusa Cendana Kupang
(*) Corresponding Author
Keywords:
Abnormal Return, Average Abnormal Return, Election, Event Study, Political Events
Abstract
This study was conducted to determine the effect of events or political occurrences on the presidential and vice-presidential elections in Indonesia in 2019. This study employs an event study method, which examines an event in relation to the abnormal returns of property sector stocks on the market before and after the elections in 2019. This research was conducted seven days before and seven days after the election in 2019. The sampling technique was conducted using the purposive sampling method, yielding 20 samples. Analysis of the data in this study utilized the Shapiro-Wilk one-sample test for normality, and hypothesis testing employed the one-sample t-test and paired samples t-test. The results of the one-sample t-test and the paired sample t-test indicated that there were no abnormal stock returns during the period before and after the presidential and vice-presidential elections in 2019.
Keywords: Abnormal Return; Average Abnormal Return; Election; Event Study; Political Events
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References
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Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167–188. https://doi.org/10.1016/j.bir.2014.03.003
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Dangol, J. (2008). Unanticipated Political Events and Stock Returns: An Event Study. NRB Economic Review, 20(2006), 86–110.
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Field, A. (2018). Discovering Statistics Using IBM SPSS Statistics (5th ed.). Sage.
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Hasan, I., Koetter, M., & Zhou, B. (2018). Political Uncertainty and Bank Lending: Evidence from US Presidential Election Cycles. Journal of Financial Economics, 129(3), 508–527.
Iyengar, M., Iyengar, N., & Sampat, H. (2017). Impact of US election results on Indian stock market. International Jornal of Applied Research, 3(2), 9–13.
MacKinlay, A. C. (1997). Event Studies in Empirical Finance. Journal of Economic Literature, 35(1), 13–39.
Mahmood, S., Irfan, M., Iqbal, S., Kamran, M., & Ijaz, A. (2014). Impact of political events on stock market returns: empirical evidence from Pakistan. Journal of Asian BUsiness Strategy, 4(12), 163–174. https://doi.org/10.1108/jeas-03-2013-0011
Ndekugri, A., & Pesakovic, G. (2017). Using Event Studies to Evaluate Stock Market Return Performance. Global Journal of Management and Business Research: C Finance, 17(5).
Panda, S., & Devi, S. (2018). Impact of Political Events on Stock Market Volatility: Evidence from India. Theoretical and Applied Economics, 25(4), 167–178.
Pantzalis, C., Stangeland, D. A., & Turtle, H. J. (2000). Political elections and the resolution of uncertainty: The international evidence. Journal of Banking and Finance, 24(10), 1575–1604. https://doi.org/10.1016/S0378-4266(99)00093-X
Ramesh, S., & Rajumesh, S. (2015). Stock Market Reaction to Political Events A Study of Listed Companies in Colombo Stock Exchange of Sri Lanka. Journal of Economics and Sustainable Development, 6(3), 131–139. https://doi.org/10.13140/RG.2.1.5005.1682
Roberts, J. M. (2018). Political Risk: How Businesses and Investors Can Mitigate Global Instability. Columbia University Press.
Schweitzer, R. (1989). How Do Stock Returns React to Special Events? In Business Review Federal Reserve Bank of Philadelphia: Vol. Jul/Aug (pp. 17–29).
Sitthipongpanich. (2011). Understanding the Event Study. Journal Administration Business, 34(130), 59–68.
Sundiyah, A., & Sudana, I. M. (2015). Reaksi Pasar Terhadap Peristiwa Politik Terkait Jokowi Di Bursa Efek Indonesia. Jurnal Manajemen Bisnis Indonesia, 2(3), 325–343. https://doi.org/10.1377/hlthaff.2013.0625
Zach, T. (2003). Political Events and the Stock Market: Evidence from Israel. International Journal of Business, 8(3), 243–266. https://doi.org/10.2139/ssrn.420242
Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167–188. https://doi.org/10.1016/j.bir.2014.03.003
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments. McGraw-Hill Education.
Castells, P., & Trillas, F. (2013). The effects of surprise political events on quoted firms: The March 2004 election in Spain. SERIEs, 4(1), 83–112. https://doi.org/10.1007/s13209-011-0080-5
Dangol, J. (2008). Unanticipated Political Events and Stock Returns: An Event Study. NRB Economic Review, 20(2006), 86–110.
Fama, E. F. (1970). Efficient Capital Markets A Review of Theory and Empirical Work.
Field, A. (2018). Discovering Statistics Using IBM SPSS Statistics (5th ed.). Sage.
Ghanem, D., & Rosvall, D. (2014). Major World Events Impact on Stock Market Prices. In Uppsala University, Department of Business Studies. https://doi.org/10.1063/1.1570933
Hartono, J., & Sulistiawan, D. (2014). The market quality to technical analysis performance: Intercountry analysis. Gadjah Mada International Journal of Business, 16(3), 243–254. https://doi.org/10.22146/gamaijb.5658
Hasan, I., Koetter, M., & Zhou, B. (2018). Political Uncertainty and Bank Lending: Evidence from US Presidential Election Cycles. Journal of Financial Economics, 129(3), 508–527.
Iyengar, M., Iyengar, N., & Sampat, H. (2017). Impact of US election results on Indian stock market. International Jornal of Applied Research, 3(2), 9–13.
MacKinlay, A. C. (1997). Event Studies in Empirical Finance. Journal of Economic Literature, 35(1), 13–39.
Mahmood, S., Irfan, M., Iqbal, S., Kamran, M., & Ijaz, A. (2014). Impact of political events on stock market returns: empirical evidence from Pakistan. Journal of Asian BUsiness Strategy, 4(12), 163–174. https://doi.org/10.1108/jeas-03-2013-0011
Ndekugri, A., & Pesakovic, G. (2017). Using Event Studies to Evaluate Stock Market Return Performance. Global Journal of Management and Business Research: C Finance, 17(5).
Panda, S., & Devi, S. (2018). Impact of Political Events on Stock Market Volatility: Evidence from India. Theoretical and Applied Economics, 25(4), 167–178.
Pantzalis, C., Stangeland, D. A., & Turtle, H. J. (2000). Political elections and the resolution of uncertainty: The international evidence. Journal of Banking and Finance, 24(10), 1575–1604. https://doi.org/10.1016/S0378-4266(99)00093-X
Ramesh, S., & Rajumesh, S. (2015). Stock Market Reaction to Political Events A Study of Listed Companies in Colombo Stock Exchange of Sri Lanka. Journal of Economics and Sustainable Development, 6(3), 131–139. https://doi.org/10.13140/RG.2.1.5005.1682
Roberts, J. M. (2018). Political Risk: How Businesses and Investors Can Mitigate Global Instability. Columbia University Press.
Schweitzer, R. (1989). How Do Stock Returns React to Special Events? In Business Review Federal Reserve Bank of Philadelphia: Vol. Jul/Aug (pp. 17–29).
Sitthipongpanich. (2011). Understanding the Event Study. Journal Administration Business, 34(130), 59–68.
Sundiyah, A., & Sudana, I. M. (2015). Reaksi Pasar Terhadap Peristiwa Politik Terkait Jokowi Di Bursa Efek Indonesia. Jurnal Manajemen Bisnis Indonesia, 2(3), 325–343. https://doi.org/10.1377/hlthaff.2013.0625
Zach, T. (2003). Political Events and the Stock Market: Evidence from Israel. International Journal of Business, 8(3), 243–266. https://doi.org/10.2139/ssrn.420242
Published
2025-07-31
How to Cite
Amtiran, P. (2025). THE IMPACT OF POLITICAL EVENTS ON THE INDONESIA STOCK EXCHANGE. Journal of Management : Small and Medium Enterprises (SMEs), 18(2), 1493-1502. https://doi.org/10.35508/jom.v18i2.21112
Section
Articles
